The decomposition method for two-stage stochastic linear programming problems with quantile criterion

DOI10.1134/S0005117918020030zbMATH Open1391.93303OpenAlexW2792891120WikidataQ130190135 ScholiaQ130190135MaRDI QIDQ1642033FDOQ1642033

Authors: I. D. Zhenevskaya, A. V. Naumov 

Publication date: 20 June 2018

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

Full work available at URL: https://doi.org/10.1134/s0005117918020030

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zbMATH Keywords

linear programmingstochastic programmingtwo-stage problemsdecompositional algorithmsquantile criterion

Mathematics Subject Classification ID

Linear programming (90C05) Dynamic programming (90C39) System structure simplification (93B11) Optimal stochastic control (93E20)

Cites Work

• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• Systems of linear inequalities and linear optimization
• Introduction to Stochastic Programming
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
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• Problems in stochastic programming with probabilistic criteria
• Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
• Minimax optimization of investment portfolio by quantile criterion
• A two-stage quantile linear programming problem
• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
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• Solution to a two-step logistics problem in a quintile statement
• Risk in two-stage optimal resource allocation
• A two-step capital variation model: optimization by different statistical criteria

Cited In (5)

• General properties of two-stage stochastic programming problems with probabilistic criteria
• Investigation of a two-stage integer problem of quantile optimization
• On stochastic linear programming problems with the quantile criterion
• A linear two-stage stochastic programming problem with quantile criterion: its discrete approximation
• \(P2q\) hierarchical decomposition algorithm for quantile optimization: application to irrigation strategies design

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