Journal
AUTOMATION AND REMOTE CONTROL
Volume 73, Issue 1, Pages 105-117Publisher
MAIK NAUKA/INTERPERIODICA/SPRINGER
DOI: 10.1134/S0005117912010080
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Funding
- Russian Foundation for Basic Research [09-07-00164-a, 11-07-00315-a, 11-07-13102-ofi-m-2011-RZHD]
- State Financing of the Federal Goal-oriented Program Scientific and Educational Personnel of Innovative Russia [14.740.11.1128]
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For the vector of random parameters with discrete distribution and finite number of realizations, consideration was given to the problem of stochastic linear programming with a quantile criterion. The sufficient conditions for existence of problem solution were formulated. A method of reduction of the original problem to the mixed linear programming problem of high dimension was proposed. For the resulting problem, a solution algorithm was constructed on the basis of the methods of decomposition of the linear programming problems.
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