Fundamentals of the linearization method for quantile analysis with small random parameters

Consideration was given to determination of the quantiles of the distribution of a nonlinear loss function of small random parameters. It was suggested to construct the quantile estimates using a linearized model where the problem under study comes to that of generalized linear programming. Precisio...

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Bibliographic Details
Published in:	Automation and remote control Vol. 69; no. 8; pp. 1333 - 1343
Main Authors:	Kan, Yu. S., Sysuev, A. V.
Format:	Journal Article
Language:	English
Published:	Dordrecht SP MAIK Nauka/Interperiodica 01-08-2008
Subjects:	CAE) and Design Calculus of Variations and Optimal Control; Optimization Computer-Aided Engineering (CAD Control Mathematics Mathematics and Statistics Mechanical Engineering Mechatronics Robotics Stochastic Systems Systems Theory 02.50.Le
Online Access:	Get full text
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Summary:	Consideration was given to determination of the quantiles of the distribution of a nonlinear loss function of small random parameters. It was suggested to construct the quantile estimates using a linearized model where the problem under study comes to that of generalized linear programming. Precision of these estimates was examined.
ISSN:	0005-1179 1608-3032
DOI:	10.1134/S0005117908080067