On Reduction of the Multistage Problem of Stochastic Programming with Quantile Criterion to the Problem of Mixed Integer Linear Programming

摘要

Consideration was given to the a priori formulation of the multistage problem of stochastic programming with a quantile criterion which is reducible to the two-stage problem. Equivalence of the two-stage problems with the quantile criterion in the a priori and a posteriori formulations was proved for the general case. The a posteriori formulation of the two-stage problem was in turn reduced to the equivalent problem of mixed integer linear programming. An example was considered.