On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem

We propose an equivalent reduction of the quantile optimization problem with a discrete distribution of random parameters to a partially integer programming problem of large dimension. The number of integer (Boolean) variables in this problem equals the number of possible values for the random param...

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Bibliographic Details
Published in:	Automation and remote control Vol. 74; no. 6; pp. 951 - 967
Main Authors:	Kibzun, A. I., Naumov, A. V., Norkin, V. I.
Format:	Journal Article
Language:	English
Published:	Dordrecht SP MAIK Nauka/Interperiodica 01.06.2013
Subjects:	CAE) and Design Calculus of Variations and Optimal Control; Optimization Computer programs Computer-Aided Engineering (CAD Control Equivalence Integer programming Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Mechanical Engineering Mechatronics Optimization Quantiles Queueing Systems Robotics Stochastic Systems Systems Theory Vectors (mathematics) Stochastic Program Discrete Distribution Quantile Function Boolean Variable Remote Control
ISSN:	0005-1179, 1608-3032
Online Access:	Get full text
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