Comparison of two algorithms for solving a two-stage bilinear stochastic programming problem with quantile criterion

DOI10.1002/ASMB.2115MaRDI QIDQ4620134zbMATH OpenOpenAlexFDO

Authors A. I. Kibzun

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2115

zbMATH Keywords

convex programmingstochastic programmingquantile functionmixed integer linear programming problemconfidence methodtwo-stage problemvalue-at-risk criterion

Mathematics Subject Classification ID

Convex programming (90C25) Linear programming (90C05) Stochastic programming (90C15) Mixed integer programming (90C11)

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(8)

• Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem
• General properties of two-stage stochastic programming problems with probabilistic criteria
• Investigation of a two-stage integer problem of quantile optimization
• scientific article; zbMATH DE number 1463002 (Why is no real title available?)
• On reduction of the two-stage problem of quantile optimization to the problem of convex programming
• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
• A linear two-stage stochastic programming problem with quantile criterion: its discrete approximation
• Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion

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