Convex properties of the quantile function in stochastic programming

被引：0
|
作者：
Kibzun, AI [1 ]
Kuznetsov, EA [1 ]
机构：
[1] Tech Univ, Moscow State Aviat Inst, Moscow, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2004年 / 65卷 / 02期
关键词：
Mechanical Engineer; Probabilistic Distribution; System Theory; Stochastic Program; Quantile Function;
D O I：
10.1023/B:AURC.0000014715.56013.7f
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Consideration was given to the problem of stochastic programming with the quantile (VaR) criterion. Conditions related with the characteristics of probabilistic distributions under which the quantile function is convex in strategy were presented. Relationship between convexity of the quantile function and convexity of the function of integral (CVaR) quantile criterion was shown.
引用
收藏
页码：184 / 192
页数：9
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