Comparison of two algorithms for solving a two‐stage bilinear stochastic programming problem with quantile criterion

Andrey Kibzun

Applied Stochastic Models in Business and Industry, 2015, vol. 31, issue 6, 862-874

Abstract: The paper is devoted to solving the two‐stage problem of stochastic programming with quantile criterion. It is assumed that the loss function is bilinear in random parameters and strategies, and the random vector has a normal distribution. Two algorithms are suggested to solve the problem, and they are compared. The first algorithm is based on the reduction of the original stochastic problem to a mixed integer linear programming problem. The second algorithm is based on the reduction of the problem to a sequence of convex programming problems. Performance characteristics of both the algorithms are illustrated by an example. A modification of both the algorithms is suggested to reduce the computing time. The new algorithm uses the solution obtained by the second algorithm as a starting point for the first algorithm. Copyright © 2015 John Wiley & Sons, Ltd.

Date: 2015
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https://doi.org/10.1002/asmb.2115

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:31:y:2015:i:6:p:862-874

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