Avtomat. i Telemekh., 2019, Issue 1, Pages 54–66
Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion
S. V. Ivanova, A. I. Kibzuna, N. Mladenovićbc
a Moscow Aviation Institute (National State University), Moscow, Russia
b Ural Federal University, Yekaterinburg, Russia
c Emirates College of Technologies, Abu Dhabi, UAE
We consider a two-stage stochastic programming problem with a bilinear loss function and a quantile criterion. The problem is reduced to a single-stage stochastic programming problem with a quantile criterion. We use the method of sample approximations. The resulting approximating problem is considered as a stochastic programming problem with a discrete distribution of random parameters. We check convergence conditions for the sequence of solutions of approximating problems. Using the confidence method, the problem is reduced to a combinatorial optimization problem where the confidence set represents an optimization strategy. To search for the optimal confidence set, we adapt the variable neighborhood search method. To solve the problem, we develop a hybrid algorithm based on the method of sample approximations, the confidence method, variable neighborhood search.
quantile criterion, two-stage problem, sample approximation, variable neighborhood search, confidence method.
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Automation and Remote Control, 2019, 80:1, 43–52
Presented by the member of Editorial Board: Á. Ì. Ìèëëåð
S. V. Ivanov, A. I. Kibzun, N. Mladenović, “Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion”, Avtomat. i Telemekh., 2019, no. 1, 54–66; Autom. Remote Control, 80:1 (2019), 43–52
Citation in format AMSBIB
\by S.~V.~Ivanov, A.~I.~Kibzun, N.~Mladenovi\'c
\paper Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion
\jour Avtomat. i Telemekh.
\jour Autom. Remote Control
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