The Decomposition Method for Two-Stage Stochastic Linear Programming Problems with Quantile Criterion


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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.

作者简介

I. Zhenevskaya

Moscow Aviation Institute (National State University)

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Email: genevskaia@gmail.com
俄罗斯联邦, Moscow

A. Naumov

Moscow Aviation Institute (National State University)

Email: genevskaia@gmail.com
俄罗斯联邦, Moscow

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