Article ID: | iaor19912118 |
Country: | Switzerland |
Volume: | 30 |
Start Page Number: | 81 |
End Page Number: | 94 |
Publication Date: | Mar 1991 |
Journal: | Annals of Operations Research |
Authors: | Kibzun A.I., Kurbakovskiy V.Yu. |
This paper presents a numerical method for solving quantile optimization problems, i.e. stochastic programming problems in which the quantile of the distribution of an objective function is the criterion to be optimized.