Guaranteeing approach to solving quantile optimization problems (Q1178432)
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scientific article; zbMATH DE number 21666
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| English | Guaranteeing approach to solving quantile optimization problems |
scientific article; zbMATH DE number 21666 |
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Guaranteeing approach to solving quantile optimization problems (English)
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26 June 1992
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The paper proposes an algorithm of the stochastic approximation type for a problem which is first reduced to an equivalent minimax problem. The procedure is compared to the Monte-Carlo method of statistical modelling with respect to time consumption and solution accuracy.
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extremal order statistics
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stochastic approximation
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Monte-Carlo method
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0.8117385506629944
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0.8063130378723145
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0.7938199043273926
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0.7914509177207947
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