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An algorithm to solve a quantile optimization problem with loss function having a separable structure, and its application to an aerospace problem

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  • S.V. Ivanov
  • A.I. Kibzun
  • A.S. Stepanova

Abstract

A quantile minimization problem with loss function having separable structure is considered. The distribution of the random parameters is assumed to be normal. To solve the problem, the confidence method and the sample average approximation method are used. Thus, the problem is reduced to a combinatorial one, which is solved by using the variable neighborhood search. The suggested algorithm is applied to optimization of runway area. Parameters of the runway are selected to minimize the area taking into account random wind speed.

Suggested Citation

  • S.V. Ivanov & A.I. Kibzun & A.S. Stepanova, 2019. "An algorithm to solve a quantile optimization problem with loss function having a separable structure, and its application to an aerospace problem," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(5), pages 1269-1281, September.
  • Handle: RePEc:wly:apsmbi:v:35:y:2019:i:5:p:1269-1281
    DOI: 10.1002/asmb.2475
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