Automation and Remote Control

, Volume 62, Issue 8, pp 1339–1348 | Cite as

A Linear Two-Stage Stochastic Programming Problem with Quantile Criterion: Its Discrete Approximation

  • A. I. Kibzun
  • I. V. Nikulin


Algorithms for solving a linear two-stage stochastic programming problem with quantile criterion are designed. They are based on the reduction of the initial nonlinear problem to a sequence of linear programming problems. The first algorithm applies the simplex and Monte Carlo methods sequentially, whereas the second utilizes the simplex method and varies the confidence set. Their advantages are demonstrated by forming the budget of a hospital.


Mechanical Engineer Monte Carlo Method System Theory Programming Problem Nonlinear Problem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© MAIK “Nauka/Interperiodica” 2001

Authors and Affiliations

  • A. I. Kibzun
    • 1
  • I. V. Nikulin
    • 1
  1. 1.Moscow State Aviation InstituteMoscowRussia

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