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Avtomatika i Telemekhanika, 2016, Issue 12, Pages 89–111 (Mi at14628)  

This article is cited in 15 scientific papers (total in 15 papers)

Stochastic Systems, Queuing Systems

Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming

A. I. Kibzun, A. N. Ignatov

Moscow State Aviation Institute, Moscow, Russia
References:
Abstract: Consideration was given to the two-step problem of stochastic optimization with a bilinear model which describes the problem of forming the securities portfolio consisting of some risk assets and one riskless asset. The probability of exceeding the given threshold of capital is used as the optimality criterion. At the second step, the piecewise constant control is used as the capital control. Determined were the upper and lower estimates of the probability functional. The problems of maximizing the upper and lower estimates of the probability functional were reduced to the problems of mixed integer linear programming by means of discretizing the probabilistic measure. An algorithm to seek an approximate solution to the original problem was proposed, and an example was considered.
Funding agency Grant number
Russian Science Foundation 16-11-00062
The work was supported by the Russian Scientific Foundation, project no. 16-11-00062.
Presented by the member of Editorial Board: P. S. Shcherbakov

Received: 14.02.2016
English version:
Automation and Remote Control, 2016, Volume 77, Issue 12, Pages 2175–2192
DOI: https://doi.org/10.1134/S0005117916120079
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, A. N. Ignatov, “Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming”, Avtomat. i Telemekh., 2016, no. 12, 89–111; Autom. Remote Control, 77:12 (2016), 2175–2192
Citation in format AMSBIB
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\paper Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
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\issue 12
\pages 89--111
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\jour Autom. Remote Control
\yr 2016
\vol 77
\issue 12
\pages 2175--2192
\crossref{https://doi.org/10.1134/S0005117916120079}
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Linking options:
  • https://www.mathnet.ru/eng/at14628
  • https://www.mathnet.ru/eng/at/y2016/i12/p89
  • This publication is cited in the following 15 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Avtomatika i Telemekhanika
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    References:37
    First page:26
     
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