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

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.