Search Results - "Kan, Yu. S."

An Extension of the Quantile Optimization Problem with a Loss Function Linear in Random Parameters by Kan, Yu. S.

“…This paper studies the stochastic programming problem with a quantile criterion in the classical single-stage statement under the assumption that the loss…”
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Approximation of Probabilistic Constraints in Stochastic Programming Problems with a Probability Measure Kernel by Vasil’eva, S. N., Kan, Yu. S.

“…We consider a linear stochastic programming problem with a deterministic objective function and individual probabilistic constraints. Each probabilistic…”
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Bilateral Estimation of the Bellman Function in the Problems of Optimal Stochastic Control of Discrete Systems by the Probabilistic Performance Criterion by Azanov, V. M., Kan, Yu. S.

“…Consideration was given to the optimal control of discrete stochastic systems by the probabilistic quality criterion. The new characteristics of the Bellman…”
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On Optimal Retention of the Trajectory of Discrete Stochastic System in Tube by Azanov, V. M., Kan, Yu. S.

“…Consideration was given to the design of the optimal control of the general discrete stochastic system with a criterion as the probability of the state vector…”
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Design of optimal strategies in the problems of discrete system control by the probabilistic criterion by Azanov, V. M., Kan, Yu. S.

“…A modification was proposed for the relations of the method of dynamic programming in the problems of optimal stochastic control of the discrete systems by the…”
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Refined Estimation of the Bellman Function for Stochastic Optimal Control Problems with Probabilistic Performance Criterion by Azanov, V. M., Kan, Yu. S.

“…In this paper, the optimal control problem for a discrete-time stochastic system with a general-form probabilistic criterion is considered. Using dynamic…”
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Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters by Vasil’eva, S. N., Kan, Yu. S.

“…We propose a method for solving quantile optimization problems with a loss function that depends on a vector of small random parameters. This method is based…”
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Asymptotic confidence interval for conditional probability at decision making by Kan, Yu. S., Sobol’, V. R.

“…Consideration was given to construction of a unilateral asymptotic confidence interval for an unknown conditional probability of the event A under the…”
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One-parameter optimal correction problem for the trajectory of an aerial vehicle with respect to the probability criterion by Azanov, V. M., Kan, Yu. S.

“…The correction problem of an aerial vehicle trajectory is considered. The mathematical model of the correction process is represented by a scalar stochastic…”
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A method for solving quantile optimization problems with a bilinear loss function by Vasil’eva, S. N., Kan, Yu. S.

“…We propose a numerical method for solving quantile optimization problems with a bilinear loss function based on approximating the kernel of the probability…”
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Optimization of the area of a takeoff and landing runway by Dzotsoev, A. A., Kan, Yu. S., Shakhlevich, P. K.

“…The problem of the choice of optimal geometric parameters of the takeoff and landing runway taking into account the constraints on the probability of…”
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On the convergence of a stochastic approximation procedure for estimating the quantile criterion in the case of a discontinuous distribution function by Kan, Yu. S.

“…We study the almost surely convergence of a stochastic approximation procedure for the quantile criterion estimation. We take into account the case when the…”
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Quantile criterion-based control of the securities portfolio with a nonzero ruin probability by Bunto, T. V., Kan, Yu. S.

“…For the portfolio of investments into securities of two kinds, consideration was given to the two-step problem of optimal control by the quantile performance…”
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On approximate computation of the quantile criterion by Kan, Yu. S., Travin, A. A.

“…We propose a method for computing the quantile criterion with given accuracy based on the use of converging sequences of two-sided approximations to the…”
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On approximate solution of the problem of formation of the fixed-income portfolio of securities by Kan, Yu. S., Sysuev, A. V.

“…Consideration was given to optimization of a fixed-income portfolio of securities in terms of the quantile performance index. Solution employed the…”
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On guaranteed sample volume in the problem of estimating unknown probability by Kan, A. V., Kan, Yu. S.

“…For the problems of statistical estimation of unknown probability, consideration was given to determination of the sample volume guaranteeing the desired…”
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Fundamentals of the linearization method for quantile analysis with small random parameters by Kan, Yu. S., Sysuev, A. V.

“…Consideration was given to determination of the quantiles of the distribution of a nonlinear loss function of small random parameters. It was suggested to…”
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Comparison of the quantile and guaranteeing approaches to system analysis by Kan, Yu. S., Sysuev, A. V.

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Selection of a fixed-income portfolio by Kan, Yu. S., Krasnopol’skaya, A. N.

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Optimal Control of the Investment Portfolio with Respect to the Quantile Criterion by Grigor'ev, P. V., Kan, Yu. S.

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