Parametric algorithm for finding a guaranteed solution to a quantile optimization problem

DOI10.1134/s0005117923080039MaRDI QIDQ6185391

Sergey V. Ivanov, Valentina Nikolaevna Akmaeva, A. I. Kibzun

Publication date: 8 January 2024

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

zbMATH Keywords

stochastic programmingguaranteeing solutionquantile optimizationconfidence methodquantile criterion

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15)

Cites Work

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• On stochastic linear programming problems with the quantile criterion
• A method for solving quantile optimization problems with a bilinear loss function
• Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
• On convex probabilistic programming with discrete distributions.
• Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
• An extension of the quantile optimization problem with a loss function linear in random parameters
• General properties of two-stage stochastic programming problems with probabilistic criteria

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