On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming

On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming

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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: ,
Keywords: stochastic processes
Abstract:

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.

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