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

DOI10.1134/S0005117918020030MaRDI QIDQ1642033zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3926625 (Why is no real title available?)
• scientific article; zbMATH DE number 3765534 (Why is no real title available?)
• scientific article; zbMATH DE number 823368 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• A two-stage quantile linear programming problem
• A two-step capital variation model: optimization by different statistical criteria
• Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
• Introduction to Stochastic Programming
• Minimax optimization of investment portfolio by quantile criterion
• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
• Problems in stochastic programming with probabilistic criteria
• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
• Risk in two-stage optimal resource allocation
• Solution to a two-step logistics problem in a quintile statement
• Systems of linear inequalities and linear optimization

Cited in

(8)

• Sample average approximation in a two-stage stochastic linear program with quantile criterion
• 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
• Comparison of two algorithms for solving a two-stage bilinear stochastic programming problem with quantile criterion
• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
• \(P2q\) hierarchical decomposition algorithm for quantile optimization: application to irrigation strategies design

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