Kan, Yu. S.; Rusyaev, A. V. Quantile minimization with bilinear loss function. (English. Russian original) Zbl 1068.90583 Autom. Remote Control 59, No. 7, Part 1, 960-966 (1998); translation from Avtom. Telemekh. 1998, No. 7, 67-75 (1998). Summary: This paper is concerned with a model of stochastic programming with an objective function, which is the quantile distribution of a bilinear function of the optimized strategy vector and a random vector with components inversely proportional to Gaussian random variables. The model is approximated by a high-dimensional deterministic nonlinear programming problem by constructing the majorant of the quantile function obtained in maximizing the objective function on the Gaussian measure kernel. The nonlinear programming problem thus obtained is reduced to a nonlinear programming problem in the space of two scalar parameters. MSC: 90C15 Stochastic programming 91B28 Finance etc. (MSC2000) × Cite Format Result Cite Review PDF