On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem (Q462008): Difference between revisions

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-Vladimir I. Norkin
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+A difference of convex formulation of value-at-risk constrained optimization
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+Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
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+Relaxations for probabilistically constrained programs with discrete random variables
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+Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
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+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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+On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
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+A Stochastic Programming Model
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+Sample average approximation method for chance constrained programming: Theory and applications
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