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 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.

Presented by the member of Editorial Board: A. V. Nazin