Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters

Authors:
S. V. Ivanov;A. V. Naumov
Affiliations:
Moscow State Aviation Institute, Moscow, Russia;Moscow State Aviation Institute, Moscow, Russia
Venue:
Automation and Remote Control
Year:
2012

Citing 4
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Abstract

For the vector of random parameters with discrete distribution and finite number of realizations, consideration was given to the problem of stochastic linear programming with a quantile criterion. The sufficient conditions for existence of problem solution were formulated. A method of reduction of the original problem to the mixed linear programming problem of high dimension was proposed. For the resulting problem, a solution algorithm was constructed on the basis of the methods of decomposition of the linear programming problems.