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Avtomatika i Telemekhanika, 2013, Issue 6, Pages 66–86
(Mi at5160)
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This article is cited in 39 scientific papers (total in 39 papers)
Stochastic Systems, Queuing Systems
On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
A. I. Kibzuna, A. V. Naumova, V. I. Norkinb a Moscow Aviation Institute, Moscow, Russia
b Glushkov Institute of Cybernetics, National Academy of Sciences, Kiev, Ukraine
Abstract:
We propose an equivalent reduction of the quantile optimization problem with a discrete distribution of random parameters to a partially integer programming problem of large dimension. The number of integer (Boolean) variables in this problem equals the number of possible values for the random parameters vector. The resulting problems can be solved with standard discrete optimization software. We consider applications to quantile optimization of a financial portfolio and show results of numerical experiments.
Citation:
A. I. Kibzun, A. V. Naumov, V. I. Norkin, “On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem”, Avtomat. i Telemekh., 2013, no. 6, 66–86; Autom. Remote Control, 74:6 (2013), 951–967
Linking options:
https://www.mathnet.ru/eng/at5160 https://www.mathnet.ru/eng/at/y2013/i6/p66
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Statistics & downloads: |
Abstract page: | 623 | Full-text PDF : | 138 | References: | 75 | First page: | 40 |
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