Article ID: | iaor2012898 |
Volume: | 73 |
Issue: | 2 |
Start Page Number: | 247 |
End Page Number: | 264 |
Publication Date: | Feb 2012 |
Journal: | Automation and Remote Control |
Authors: | Kibzun A, Chernobrovov A |
Keywords: | order statistics, stochastic linear programme |
Proposed was a stochastic quasigradient algorithm to minimize the integral quantile function (CVaR criterion) with the use of the order statistics. Convergence of the algorithm with the probability one was proved, and an example was considered.