The optimization problem of the production with the quantile criterion and integral quantile criterion for terrestrial space systems
Economics and management
Moscow Aviation Institute (National Research University), 4, Volokolamskoe shosse, Moscow, А-80, GSP-3, 125993, Russia
AbstractWe consider optimization problem of the production with the quantile criterion and quantile integral criterion. We proposed acceleration stochastic quasi-gradient algorithm for minimize the integral quantile. We consider the equivalence of quantiles and quantile integral problems for large values of probability. And also we use the solution of the quantile integral criterion to construct an upper bound for the quantile. We consider example of solving the problem for terrestrial space systems.
Keywords:stochastic programming, quantile, quantile integraL quasi-gradient algorithm, stochastic approximation Information about the authors