Risk in Two-Stage Optimal Resource Allocation

  • Authors:

  • A. V. Naumov;S. V. Ulanov

  • Affiliations:

  • Moscow State Aviation Institute, Moscow, Russia;Moscow State Aviation Institute, Moscow, Russia

  • Venue:
  • Automation and Remote Control
  • Year:
  • 2003

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Abstract

Two integral two-stage multi-period optimal resource allocations with expectation and quantile criteria are compared. Effective algorithms for solving the problem in our formulation are designed for the case of independent components of the random demand vector.