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A method for solving quantile optimization problems with a bilinear loss function

  • Stochastic Systems, Queueing Systems
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Abstract

We propose a numerical method for solving quantile optimization problems with a bilinear loss function based on approximating the kernel of the probability measure in the space of realizations of the random parameters vector with a convex polyhedron. The original problem reduces to a linear programming problem with a large number of constraints. We present our approach in two modifications: for the case when we know the distribution of random parameters and for the case when we only have a sample from the distribution law. The operation of the proposed approach is illustrated with numerical solutions of portfolio selection.

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Authors and Affiliations

  1. Moscow Aviation Institute (National Research University), Moscow, Russia

    S. N. Vasil’eva & Yu. S. Kan

Authors
  1. S. N. Vasil’eva
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  2. Yu. S. Kan
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Correspondence to S. N. Vasil’eva.

Additional information

Original Russian Text © S.N. Vasil’eva, Yu.S. Kan, 2015, published in Avtomatika i Telemekhanika, 2015, No. 9, pp. 83–101.

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Vasil’eva, S.N., Kan, Y.S. A method for solving quantile optimization problems with a bilinear loss function. Autom Remote Control 76, 1582–1597 (2015). https://doi.org/10.1134/S0005117915090052

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  • DOI: https://doi.org/10.1134/S0005117915090052

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