Registration Number
0212U008747,
0112U005054
, R & D reports
Title
Convex analysis and optimization of uncertain stochastic systems with applications to the reliability/safety problems
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Head
Knopov Pavel Solomovich,
Registration Date
27-12-2012
Organization
V.M.Glushkov Institute of Cybernetics of NASU
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A methodology for efficient solutions in conditions of risk and uncertainty is developed. The problems of one- and two-stage quantile optimization with discrete distribution of random data are studied. They are reduced to deterministic partially integer optimization problems, that justifies a practical way solving the real problems of one- and two-stage quantile programming. Financial portfolio optimization problems on return-risk ratio are reduced to linear programming problems, as at the known distribution of random variables, and in conditions of partial uncertainty. In the last case, the corresponding robust problem statements are considered. The problems of optimizing the insurance portfolio with the constraints on the probability of ruin are studied. They are transformed to the problems of partially integer linear programming. Thus, all the studied problems can be effectively solved by standard software tools.
Product Description
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Кирилюк Володимир Семенович
Кнопов Павло Соломонович
Норкін Богдан Володимирович
Норкін Володимир Іванович
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2020-04-02
