Problems in stochastic programming with probabilistic criteria

zbMATH Open1190.90006MaRDI QIDQ3550889FDOQ3550889

Authors: Yu. S. Kan, A. I. Kibzun 

Publication date: 7 April 2010

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zbMATH Keywords

differentiabilitystochastic programmingquasiconvexityquasiconcavitystochastic quasigradient algorithmuniformity principle

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

Cited In (58)

• On the problem of maximizing the probability of successful passing of a time-limited test
• Thin and heavy tails in stochastic programming
• Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems
• Parametric algorithm for finding a guaranteed solution to a quantile optimization problem
• Search for Nash equilibria in bimatrix games with probability and quantile payoff functions
• Title not available (Why is that?)
• Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
• A method for solving quantile optimization problems with a bilinear loss function
• On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
• Stochastic optimization models of actuarial mathematics
• Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
• Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
• On the problem of probabilistic optimization of time-limited testing
• Sample average approximation in a two-stage stochastic linear program with quantile criterion
• Analysis and comparisons of some solution concepts for stochastic programming problems
• Algorithm to solve the generalized Markowitz problem
• Stochastic quasigradient algorithm to minimize the quantile function
• An extension of the quantile optimization problem with a loss function linear in random parameters
• Construction of confidence absorbing sets using statistical methods
• On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• General properties of two-stage stochastic programming problems with probabilistic criteria
• Convergence conditions for the observed mean method in stochastic programming
• Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
• One-parameter optimal correction problem for the trajectory of an aerial vehicle with respect to the probability criterion
• Challenges in stochastic programming
• Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
• Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
• Design of optimal strategies in the problems of discrete system control by the probabilistic criterion
• Multistructural method of the triangulation estimation of the motion parameters of a radiating target under a priori indefiniteness assumptions
• Stochastic model of the electric power purchase system on a railway segment
• Properties of the linear unconditional problem of combinatorial optimization on arrangements under probabilistic uncertainty
• Forecasting credit portfolio components with a Markov chain model
• Injection of the maximal payload under random perturbations of parameters
• On approximate computation of the quantile criterion
• On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
• On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming
• On reduction of the two-stage problem of quantile optimization to the problem of convex programming
• On stochastic linear programming problems with the quantile criterion
• On the convergence of a stochastic approximation procedure for estimating the quantile criterion in the case of a discontinuous distribution function
• Uniform quasi-concavity in probabilistic constrained stochastic programming
• Two-Stage Stochastic Facility Location Model with Quantile Criterion and Choosing Reliability Level
• Stochastic problem of competitive location of facilities with quantile criterion
• The decomposition method for two-stage stochastic linear programming problems with quantile criterion
• Synthesis of test control for identification of aerodynamic characteristics of aircraft
• Bilevel stochastic linear programming problems with quantile criterion
• Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters
• Stochastic quasigradient algorithm to minimize the function of integral quantile
• Equivalence of the problems with quantile and integral quantile criteria
• Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
• The Stackelberg model in territorial planning
• A Bilevel Stochastic Programming Problem with Random Parameters in the Follower’s Objective Function
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion
• Optimal control for linear discrete systems with respect to probabilistic criteria
• Minimizing the payments and borrower risk in a mortgage
• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
• Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
• Choosing optimal road trajectory with random work cost in different areas

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