A method for solving quantile optimization problems with a bilinear loss function

DOI10.1134/S0005117915090052zbMATH Open1329.93159OpenAlexW2286813117MaRDI QIDQ904448FDOQ904448

Authors: S. N. Vasil'eva, Yu. S. Kan 

Publication date: 13 January 2016

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

Full work available at URL: https://doi.org/10.1134/s0005117915090052

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Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

• Problems in stochastic programming with probabilistic criteria
• A Stochastic Programming Model
• Bilinear loss function: quantile minimization of its normal distribution

Cited In (14)

• Construction of confidence absorbing set for analysis of static stochastic systems
• An extension of the quantile optimization problem with a loss function linear in random parameters
• Bilinear quantile optimization: a numerical algorithm
• Quantile minimization with bilinear loss function
• Parallelization of the quantile function optimization algorithms
• A Stochastic Approximation Method for Simulation-Based Quantile Optimization
• Bilinear loss function: quantile minimization of its normal distribution
• Parametric algorithm for finding a guaranteed solution to a quantile optimization problem
• Bi-level path following for cross validated solution of kernel quantile regression
• Fundamentals of the linearization method for quantile analysis with small random parameters
• Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters
• Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
• A note on the quantile formulation
• 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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