Fundamentals of the linearization method for quantile analysis with small random parameters

DOI10.1134/S0005117908080067zbMATH Open1156.93325MaRDI QIDQ1003008FDOQ1003008

Authors: Yu. S. Kan, A. V. Sysuev 

Publication date: 26 February 2009

Published in: Automation and Remote Control (Search for Journal in Brave)

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zbMATH Keywords

linear approximationuncertain parametersprobabilistic criteria

Mathematics Subject Classification ID

Linearizations (93B18) Control/observation systems with incomplete information (93C41) Stochastic systems in control theory (general) (93E03)

Cites Work

• Title not available (Why is that?)
• Minimax optimization of investment portfolio by quantile criterion
• Comparison of the quantile and guaranteeing approaches to system analysis
• Bilinear loss function: quantile minimization of its normal distribution
• Title not available (Why is that?)

Cited In (6)

• A class of distributions with the linear mean residual quantile function and it's generalizations
• Specification analysis of linear quantile models
• On approximate computation of the quantile criterion
• On approximate solution of the problem of formation of the fixed-income portfolio of securities
• Comparison of the quantile and guaranteeing approaches to system analysis
• Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters

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