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: | Kibzun A, Khromova O |
Keywords: | programming: convex |
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.