Article ID: | iaor2014669 |
Volume: | 75 |
Issue: | 4 |
Start Page Number: | 688 |
End Page Number: | 699 |
Publication Date: | Apr 2014 |
Journal: | Automation and Remote Control |
Authors: | Kibzun A, Khromova O |
Keywords: | stochastic processes |
Consideration was given to the a priori formulation of the multistage problem of stochastic programming with a quantile criterion which is reducible to the two‐stage problem. Equivalence of the two‐stage problems with the quantile criterion in the a priori and a posteriori formulations was proved for the general case. The a posteriori formulation of the two‐stage problem was in turn reduced to the equivalent problem of mixed integer linear programming. An example was considered.