Deterministic equivalents for the problems of stochastic programming with probabilistic criteria

DOI10.1134/S0005117906060099MaRDI QIDQ2457586zbMATH OpenFDO

Authors V. B. Vishnaykov, A. I. Kibzum

Publication date 23 October 2007

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

Mathematics Subject Classification ID

Stochastic programming (90C15)

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• Bilinear loss function: quantile minimization of its normal distribution
• Convexity properties of probability and quantile functions in optimization problems
• Deterministic Solutions for a Class of Chance-Constrained Programming Problems

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• On stochastic linear programming problems with the quantile criterion
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• Equivalence of the problems with quantile and integral quantile criteria
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