On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming

被引：4
|
作者：
Kibzun, A. I. [1 ]
Khromova, O. M. [1 ]
机构：
[1] Moscow State Aviat Inst, Moscow, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2014年 / 75卷 / 04期
基金：
俄罗斯基础研究基金会;
关键词：
DISCRETE DISTRIBUTION;
D O I：
10.1134/S0005117914040092
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 a priori formulation of the multistage problem of stochastic programming with a quantile criterion which is reducible to the two-stage problem. Equivalence of the two-stage problems with the quantile criterion in the a priori and a posteriori formulations was proved for the general case. The a posteriori formulation of the two-stage problem was in turn reduced to the equivalent problem of mixed integer linear programming. An example was considered.
引用
收藏
页码：688 / 699
页数：12
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