Article ID: | iaor2012201 |
Volume: | 73 |
Issue: | 1 |
Start Page Number: | 105 |
End Page Number: | 117 |
Publication Date: | Jan 2012 |
Journal: | Automation and Remote Control |
Authors: | Ivanov S, Naumov A |
Keywords: | programming: linear |
For the vector of random parameters with discrete distribution and finite number of realizations, consideration was given to the problem of stochastic linear programming with a quantile criterion. The sufficient conditions for existence of problem solution were formulated. A method of reduction of the original problem to the mixed linear programming problem of high dimension was proposed. For the resulting problem, a solution algorithm was constructed on the basis of the methods of decomposition of the linear programming problems.