A method for solving quantile optimization problems with a bilinear loss function
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Publication:904448
DOI10.1134/S0005117915090052zbMath1329.93159OpenAlexW2286813117MaRDI QIDQ904448
Publication date: 13 January 2016
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117915090052
Related Items (7)
Construction of confidence absorbing set for analysis of static stochastic systems ⋮ A Stochastic Approximation Method for Simulation-Based Quantile Optimization ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters ⋮ Parametric algorithm for finding a guaranteed solution to a quantile optimization problem ⋮ An extension of the quantile optimization problem with a loss function linear in random parameters ⋮ Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
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