Approximation of the quantile minimization problem with decision rules

DOI10.1080/1055678021000033991MaRDI QIDQ4709736zbMATH OpenOpenAlexFDO

Authors Riho Lepp

Publication date 2002

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1055678021000033991

zbMATH Keywords

Probability And Quantile Functions, Decision Rules, Discrete Approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) 2-person games (91A05) Optimal stochastic control (93E20)

Recommendations

• Approximation of value-at-risk problems with decision rules
• Approximation of decision rules in stochastic programming
• Guaranteeing approach to solving quantile optimization problems
• scientific article; zbMATH DE number 1187204
• scientific article; zbMATH DE number 558364

Cites work

• A survey of the theory of spectral operators
• Discrete approximation and stability in extremal problems
• scientific article; zbMATH DE number 3700586 (Why is no real title available?)
• scientific article; zbMATH DE number 1016946 (Why is no real title available?)
• On the convergence of the method of mechanical quadratures for integral equations with discontinuous kernels

Cited in

(6)

• Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion
• Approximation of value-at-risk problems with decision rules
• scientific article; zbMATH DE number 4199976 (Why is no real title available?)
• Quantile Maximization in Decision Theory*
• Smooth Approximation of the Quantile Function Derivatives
• Integrality constraints in minimizing the empirical loss function of linear decision rules

This page was built for publication: Approximation of the quantile minimization problem with decision rules

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4709736)