A Linear Two-Stage Stochastic Programming Problem with Quantile Criterion: Its Discrete Approximation

Authors:
A. I. Kibzun;I. V. Nikulin
Affiliations:
Moscow State Aviation Institute, Moscow, Russia;Moscow State Aviation Institute, Moscow, Russia
Venue:
Automation and Remote Control
Year:
2001

Citing 2
Cited 1

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Abstract

Algorithms for solving a linear two-stage stochastic programming problem with quantile criterion are designed. They are based on the reduction of the initial nonlinear problem to a sequence of linear programming problems. The first algorithm applies the simplex and Monte Carlo methods sequentially, whereas the second utilizes the simplex method and varies the confidence set. Their advantages are demonstrated by forming the budget of a hospital.