Problems in stochastic programming with probabilistic criteria

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

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Challenges in stochastic programming
Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
The decomposition method for two-stage stochastic linear programming problems with quantile criterion
Stochastic model of the electric power purchase system on a railway segment
Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters
One-parameter optimal correction problem for the trajectory of an aerial vehicle with respect to the probability criterion
Convergence conditions for the observed mean method in stochastic programming
Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
Stochastic optimization models of actuarial mathematics
On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
An extension of the quantile optimization problem with a loss function linear in random parameters
Construction of confidence absorbing sets using statistical methods
Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
Stochastic quasigradient algorithm to minimize the function of integral quantile
On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
Injection of the maximal payload under random perturbations of parameters
Forecasting credit portfolio components with a Markov chain model
Optimal control for linear discrete systems with respect to probabilistic criteria
The Stackelberg model in territorial planning
Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
General properties of two-stage stochastic programming problems with probabilistic criteria
Equivalence of the problems with quantile and integral quantile criteria
Design of optimal strategies in the problems of discrete system control by the probabilistic criterion
Minimizing the payments and borrower risk in a mortgage
Sample average approximation in a two-stage stochastic linear program with quantile criterion
Search for Nash equilibria in bimatrix games with probability and quantile payoff functions
Thin and heavy tails in stochastic programming
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Properties of the linear unconditional problem of combinatorial optimization on arrangements under probabilistic uncertainty
Stochastic problem of competitive location of facilities with quantile criterion
Choosing optimal road trajectory with random work cost in different areas
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On approximate computation of the quantile criterion
On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
Bilevel stochastic linear programming problems with 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
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
On the problem of probabilistic optimization of time-limited testing
Two-Stage Stochastic Facility Location Model with Quantile Criterion and Choosing Reliability Level
Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
On the convergence of a stochastic approximation procedure for estimating the quantile criterion in the case of a discontinuous distribution function
Algorithm to solve the generalized Markowitz problem
On stochastic linear programming problems with the quantile criterion
Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems
Stochastic quasigradient algorithm to minimize the quantile function
Parametric algorithm for finding a guaranteed solution to a quantile optimization problem
Synthesis of test control for identification of aerodynamic characteristics of aircraft
Uniform quasi-concavity in probabilistic constrained stochastic programming
On the problem of maximizing the probability of successful passing of a time-limited test
On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
Analysis and comparisons of some solution concepts for stochastic programming problems
A study of the threshold stability of the bilevel problem of facility location and discriminatory pricing
A method of optimal investment with stage-by-stage conditional value at risk (CVaR) constraints and known parameters of return vectors
Multistructural method of the triangulation estimation of the motion parameters of a radiating target under a priori indefiniteness assumptions
Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
A method for solving quantile optimization problems with a bilinear loss function

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