On reduction of the two-stage problem of quantile optimization to the problem of convex programming

On reduction of the two-stage problem of quantile optimization to the problem of convex programming

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Article ID: iaor2014684
Volume: 75
Issue: 5
Start Page Number: 859
End Page Number: 871
Publication Date: May 2014
Journal: Automation and Remote Control
Authors: ,
Keywords: programming: convex
Abstract:

Consideration was given to the two‐stage problem of stochastic programming with a quantile criterion. The case of bilinear loss function which is linear separately in the normally distributed random factors and the strategies was studied. An algorithm was proposed based on solving the parametric problem of convex programming with the scalar parameter selected with the use of the dichotomy method. The solution proved to be guaranteeing for the original problem. An example was discussed.

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