scientific article

From MaRDI portal
Publication:3550889

zbMath1190.90006MaRDI QIDQ3550889

Yu. S. Kan, A. I. Kibzun

Publication date: 7 April 2010


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (52)

Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman functionOptimal insurance strategy design in a risk process under value-at-risk constraints on capital incrementsProperties of the linear unconditional problem of combinatorial optimization on arrangements under probabilistic uncertaintyBilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterionThe decomposition method for two-stage stochastic linear programming problems with quantile criterionStochastic model of the electric power purchase system on a railway segmentTwo-Stage Stochastic Facility Location Model with Quantile Criterion and Choosing Reliability LevelStochastic problem of competitive location of facilities with quantile criterionEquivalence of the problems with quantile and integral quantile criteriaDesign of optimal strategies in the problems of discrete system control by the probabilistic criterionApproximation of probabilistic constraints in stochastic programming problems with a probability measure kernelLinearization method for solving quantile optimization problems with loss function depending on a vector of small random parametersSearch for Nash equilibria in bimatrix games with probability and quantile payoff functionsChoosing optimal road trajectory with random work cost in different areasMinimizing the payments and borrower risk in a mortgageStochastic quasigradient algorithm to minimize the quantile functionSequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systemsSample average approximation in a two-stage stochastic linear program with quantile criterionParametric algorithm for finding a guaranteed solution to a quantile optimization problemSynthesis of test control for identification of aerodynamic characteristics of aircraftA method for solving quantile optimization problems with a bilinear loss functionStochastic optimization models of actuarial mathematicsOn approximate computation of the quantile criterionOn reducing a quantile optimization problem with discrete distribution to a mixed integer programming problemBilevel stochastic linear programming problems with quantile criterionOn formation of security portfolio with uniform distribution by logarithmic criterion and priority risk componentOn reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programmingOn reduction of the two-stage problem of quantile optimization to the problem of convex programmingOn the construction of positional control in a multistep portfolio optimization problem with probabilistic criterionAn extension of the quantile optimization problem with a loss function linear in random parametersConstruction of confidence absorbing sets using statistical methodsThe two-step problem of investment portfolio selection from two risk assets via the probability criterionOne-parameter optimal correction problem for the trajectory of an aerial vehicle with respect to the probability criterionOn the problem of probabilistic optimization of time-limited testingConvergence conditions for the observed mean method in stochastic programmingOn the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterionReduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programmingOn the convergence of a stochastic approximation procedure for estimating the quantile criterion in the case of a discontinuous distribution functionAlgorithm to solve the generalized Markowitz problemOn stochastic linear programming problems with the quantile criterionAlgorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parametersStochastic quasigradient algorithm to minimize the function of integral quantileOn the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parametersInjection of the maximal payload under random perturbations of parametersForecasting credit portfolio components with a Markov chain modelOptimal control for linear discrete systems with respect to probabilistic criteriaThe Stackelberg model in territorial planningRefined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterionOptimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capitalGeneral properties of two-stage stochastic programming problems with probabilistic criteriaA Bilevel Stochastic Programming Problem with Random Parameters in the Follower’s Objective FunctionMultistructural method of the triangulation estimation of the motion parameters of a radiating target under a priori indefiniteness assumptions




This page was built for publication: