A linear two-stage stochastic programming problem with quantile criterion: Its discrete approximation

Algorithms for solving a linear two-stage stochastic programming problem with quantile criterion are designed. They are based on the reduction of the initial nonlinear problem to a sequence of linear programming problems. The first algorithm applies the simplex and Monte Carlo methods sequentially, whereas the second utilizes the simplex method and varies the confidence set. Their advantages are demonstrated by forming the budget of a hospital.