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

DOI10.1134/S0005117914040092zbMATH Open1297.90099OpenAlexW2087349609MaRDI QIDQ463378FDOQ463378

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

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Mathematics Subject Classification ID

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

Cites Work

• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• Problems in stochastic programming with probabilistic criteria
• Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
• Title not available (Why is that?)

Cited In (7)

• Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming 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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