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.
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收藏
页码：127 / 137
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