Guaranteeing approach to solving quantile optimization problems

Guaranteeing approach to solving quantile optimization problems

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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: ,
Abstract:

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.

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