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

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Abstract

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.

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Authors and Affiliations

  1. Moscow State Aviation Institute, Moscow, Russia

    A. I. Kibzun & O. M. Khromova

Authors
  1. A. I. Kibzun
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  2. O. M. Khromova
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Correspondence to A. I. Kibzun.

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Original Russian Text © A.I. Kibzun, O.M. Khromova, 2014, published in Avtomatika i Telemekhanika, 2014, No. 4, pp. 120–133.

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Kibzun, A.I., Khromova, O.M. On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming. Autom Remote Control 75, 688–699 (2014). https://doi.org/10.1134/S0005117914040092

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