On Reducing a Quantile Optimization Problem with Discrete Distribution to a Mixed Integer Programming Problem

被引：22

作者：

Kibzun, A. I. ^{[1
]}

Naumov, A. V. ^{[1
]}

Norkin, V. I. ^{[2
]}

机构：

[1] Moscow State Aviat Inst, Moscow, Russia

[2] Natl Acad Sci Ukraine, VM Glushkov Cybernet Inst, Kiev, Ukraine

来源：

AUTOMATION AND REMOTE CONTROL | 2013年 / 74卷 / 06期

基金：

俄罗斯基础研究基金会;

关键词：

RANDOM PARAMETERS; FORMULATION; CRITERION;

D O I：

10.1134/S0005117913060064

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：951 / 967

页数：17

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