I. D. Zhenevskaya, A. V. Naumov, “The decomposition method for two-stage stochastic linear programming problems with quantile criterion”, Avtomat. i Telemekh., 2018, Issue 2,Pages <nobr>36

This article is cited in 2 papers

The decomposition method for two-stage stochastic linear programming problems with quantile criterion

I. D. Zhenevskaya, A. V. Naumov

Moscow Aviation Institute (National State University), Moscow, Russia

Abstract: We consider the two-stage stochastic linear programming problem with quantile criterion in case when the vector of random parameters has a discrete distribution with a finite number of realizations. Based on the confidence method and duality theorems, we construct a decompositional algorithm for finding guaranteeing solutions.

Keywords: stochastic programming, two-stage problems, linear programming, quantile criterion, decompositional algorithms.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 21.03.2017