On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem

DOI10.1134/S0005117913060064zbMATH Open1297.90090OpenAlexW1997049706MaRDI QIDQ462008FDOQ462008

Vladimir I. Norkin, A. V. Naumov, A. I. Kibzun

Publication date: 15 October 2014

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

Full work available at URL: https://doi.org/10.1134/s0005117913060064

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Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Integer programming (90C10) Mixed integer programming (90C11)

Cites Work

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• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• A difference of convex formulation of value-at-risk constrained optimization
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• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
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Cited In (21)

• On the problem of probabilistic optimization of time-limited testing
• On the problem of maximizing the probability of successful passing of a time-limited test
• Risk measures in stochastic programming and robust optimization problems
• Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem
• Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria
• Convergence conditions for the observed mean method in stochastic programming
• A Stochastic Approximation Method for Simulation-Based Quantile Optimization
• Investigation of a two-stage integer problem of quantile optimization
• Stochastic model of the electric power purchase system on a railway segment
• A parallel greedy approach enhanced by genetic algorithm for the stochastic rig routing problem
• Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems
• 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
• Stochastic problem of competitive location of facilities with quantile criterion
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
• Bilevel stochastic linear programming problems with quantile criterion
• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
• Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
• Title not available (Why is that?)
• Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
• Optimization models of anti-terrorist protection

Uses Software

• CPLEX

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