Email this article The Decomposition Method for Two-Stage Stochastic Linear Programming Problems with Quantile Criterion
- Authors: Zhenevskaya I.D.1, Naumov A.V.1
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Affiliations:
- Moscow Aviation Institute (National State University)
- Issue: Vol 79, No 2 (2018)
- Pages: 229-240
- Section: Topical Issue
- URL: https://journals.rcsi.science/0005-1179/article/view/150811
- DOI: https://doi.org/10.1134/S0005117918020030
- ID: 150811
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Abstract
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.
About the authors
I. D. Zhenevskaya
Moscow Aviation Institute (National State University)
Author for correspondence.
Email: genevskaia@gmail.com
Russian Federation, Moscow
A. V. Naumov
Moscow Aviation Institute (National State University)
Email: genevskaia@gmail.com
Russian Federation, Moscow
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