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

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 fo...

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Veröffentlicht in:Automation and remote control Jg. 75; H. 4; S. 688 - 699
Hauptverfasser: Kibzun, A. I., Khromova, O. M.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Moscow Pleiades Publishing 01.04.2014
Schlagworte:
CAE) and Design
Calculus of Variations and Optimal Control; Optimization
Computer-Aided Engineering (CAD
Control
Criteria
Formulations
Linear programming
Mathematics
Mathematics and Statistics
Mechanical Engineering
Mechatronics
Mixed integer
Multistage
Programming
Quantiles
Robotics
Stochasticity
Systems Theory
Two-Level Programming Problems
Discrete Distribution
Mixed Integer Linear Programming
Stochastic Programming
Remote Control
Random Vector
ISSN:0005-1179, 1608-3032
Online-Zugang:Volltext
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Zusammenfassung: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.
Bibliographie:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0005-1179
1608-3032
DOI:10.1134/S0005117914040092