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Guaranteeing approach to solving quantile optimization problems

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Abstract

This paper presents a numerical method for solving quantile optimization problems, i.e. stochastic programming problems in which the quantile of the distribution of an objective function is the criterion to be optimized.

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Authors and Affiliations

  1. Moscow Aviation Institute, USSR

    A. I. Kibzun & V. Yu. Kurbakovskiy

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  1. A. I. Kibzun
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  2. V. Yu. Kurbakovskiy
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Kibzun, A.I., Kurbakovskiy, V.Y. Guaranteeing approach to solving quantile optimization problems. Ann Oper Res 30, 81–93 (1991). https://doi.org/10.1007/BF02204810

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