On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming

DOI10.1134/S0005117914040092MaRDI QIDQ463378zbMATH OpenOpenAlexFDO

Authors A. I. Kibzun, O. M. Khromova

Publication date 16 October 2014

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

Full work available at URL https://doi.org/10.1134/s0005117914040092

Mathematics Subject Classification ID

Stochastic programming (90C15) Mixed integer programming (90C11)

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Cites work

• scientific article; zbMATH DE number 3765534 (Why is no real title available?)
• Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• Problems in stochastic programming with probabilistic criteria

Cited in

(7)

• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• 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
• On reduction of the two-stage problem of quantile optimization to the problem of convex programming
• Exact Quantization of Multistage Stochastic Linear Problems
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
• Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming

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