Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming

DOI10.1134/S0005117916120079MaRDI QIDQ517339zbMATH OpenFDO

Authors A. I. Kibzun, A. N. Ignatov

Publication date 23 March 2017

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

Full work available at URL https://doi.org/10.1134/S0005117916120079

zbMATH Keywords

bilinear modeldiscretization of probabilistic measuremixed integer linear programmingstochastic optimal control

Mathematics Subject Classification ID

Mixed integer programming (90C11) Transformations (93B17) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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Cites work

• A method for solving quantile optimization problems with a bilinear loss function
• Control optimization by the quantile criterion
• Multi-period portfolio optimization with linear control policies
• On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• Optimal control of the investment portfolio with respect to the quantile criterion
• Optimal control of the portfolio
• Probability maximization models for portfolio selection under ambiguity
• Problems in stochastic programming with probabilistic criteria
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion

Cited in

(10)

• Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
• Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
• On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
• On optimal retention of the trajectory of discrete stochastic system in tube
• Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
• scientific article; zbMATH DE number 1460272 (Why is no real title available?)
• Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem
• Application of the smooth approximation of the probability function in some applied stochastic programming problems
• Comparing the solvers for the mixed integer linear programming problems and the software environments that call them
• On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion

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