On stochastic linear programming problems with the quantile criterion

On stochastic linear programming problems with the quantile criterion

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Article ID: iaor20112618
Volume: 72
Issue: 2
Start Page Number: 353
End Page Number: 369
Publication Date: Feb 2011
Journal: Automation and Remote Control
Authors: ,
Keywords: stochastic linear programme
Abstract:

We study qualitative properties of a stochastic linear programming problem with quantile criterion for a wide class of distributions. We show convexity conditions for the criterion function with respect to the strategy, and continuity conditions with respect to the strategy and reliability level. We give sufficient conditions for the existence of a solution. We present a new algorithm for finding a guaranteeing solution of the problem, i.e., an admissible solution for which the quantile criterion function's value turns out to be close to optimal.

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