Discrete approximation of a linear two-stage problem of stochastic programming with quantile criterion

被引：0

作者：

Kibzun, A.I. ^{[1
]}

Nikulin, I.V. ^{[1
]}

机构：

[1] Moskovskij Aviatsionnyj Inst., Moscow, Russia

来源：

Avtomatika i Telemekhanika | 2001年 / 08期

关键词：

Algorithms - Linear programming - Monte Carlo methods - Random processes;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Algorithms are suggested for solving a linear two-stage problem of stochastic programming with the quantile criterion. The algorithms are based on reduction of an assumed nonlinear problem to a sequence of the problems of linear programming. The first algorithm uses sequential application of the simplex-method and the method of Monte Carlo. The second one is based on simplex-method use and variation of a confidence set.

引用

页码：127 / 137

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