Journal
AUTOMATION AND REMOTE CONTROL
Volume 73, Issue 2, Pages 265-275Publisher
MAIK NAUKA/INTERPERIODICA/SPRINGER
DOI: 10.1134/S0005117912020051
Keywords
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Funding
- Russian Foundation for Basic Research [11-07-00315-a]
- Federal Goal-oriented Program Scientific and Educational Personnel of Innovative Russia [1.2.2, 14.740.11.1128]
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Consideration was given to the two-stage problem of stochastic linear programming with a discrete distribution of the random parameter vector. The property of continuity of the quantile function in strategy was proved, the sufficient conditions for existence of solution were formulated, and an algorithm to determine the guaranteeing solution was constructed on the basis of the confidence method and the duality theorem. A deterministic equivalent of the considered problem in the form of a linear programming problem was given for the scalar case.
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