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

DOI10.1134/S0005117913060064zbMath1297.90090OpenAlexW1997049706MaRDI QIDQ462008

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

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

Mathematics Subject Classification ID

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

Related Items (19)

Risk measures in stochastic programming and robust optimization problems ⋮ On the convergence of sample approximations for stochastic programming problems with probabilistic criteria ⋮ A Stochastic Approximation Method for Simulation-Based Quantile Optimization ⋮ Stochastic model of the electric power purchase system on a railway segment ⋮ Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ Stochastic problem of competitive location of facilities with quantile criterion ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ A parallel greedy approach enhanced by genetic algorithm for the stochastic rig routing problem ⋮ Unnamed Item ⋮ Bilevel stochastic linear programming problems with quantile criterion ⋮ 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 ⋮ Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem ⋮ Optimization models of anti-terrorist protection ⋮ On the problem of probabilistic optimization of time-limited testing ⋮ Convergence conditions for the observed mean method in stochastic programming ⋮ Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming ⋮ Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems ⋮ Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria

Uses Software

• CPLEX

Cites Work

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• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
• 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
• A Stochastic Programming Model

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