УДК 311

В.А. ПЕПЕЛЯЄВ,
Інститут кібернетики ім. В.М. Глушкова НАН України, Київ, Україна,
 pepelaev@yahoo.com

О.М. ГОЛОДНІКОВ,
Інститут кібернетики ім. В.М. Глушкова НАН України, Київ, Україна

Н.О. ГОЛОДНІКОВА,
Інститут кібернетики ім. В.М. Глушкова НАН України, Київ, Україна

НОВИЙ МЕТОД ОПТИМІЗАЦІЇ НАДІЙНОСТІ В КЛАСИЧНІЙ
ПОСТАНОВЦІ ЗАДАЧІ

СПИСОК ЛІТЕРАТУРИ

1. Rockafellar T., Royset J.O. On buffered failure probability in design and optimization of structures. Reliability Engineering and System Safety. 2010. Vol. 95, N 5. P. 499–510. doi.org/10.1016/j.ress.2010.01.001 .


2. Rockafellar R.T. Convexity and reliability in engineering optimization. Proceedings of the 9th International Conference on Nonlinear Analysis and Convex Analysis (Chiangrai, Thailand). 2015. P. 1–10. URL: sites.math.washington.edu .


3. Davis J.R., Uryasev S. Analysis of tropical storm damage using buffered probability of exceedance. Natural Hazards. 2016. Vol. 83. P. 465–483. doi.org/10.1007/s11069-016-2324-y .


4. Pepelyaev V.A., Golodnikov A.N., Golodnikova N.A. Reliability optimization in plant production. Cybernetics and Systems Analysis. 2022. Vol. 58, N 2. P. 191–196. doi.org/10.1007/s10559-022-00450-5 .


5. Mafusalov A., Uryasev S. Buffered probability of exceedance: Mathematical properties and optimization. SIAM. J. Optim. 2018. Vol. 28. P. 1077–1103. doi.org/10.1137/15M1042644.


6. Rockafellar R.T., Uryasev S. Optimization of conditional value-at-risk. The Journal of Risk. 2000. Vol. 2, N 3. P. 21–41. doi.org/10.21314/JOR.2000.038 .


7. Rockafellar R.T., Uryasev S. Conditional value-at-risk for general loss distributions. Journal of Banking & Finance. 2002. Vol. 26, N 7. P. 1443–1471. doi.org/10.1016/S0378- 4266(02)00271-6 .


8. Norton M., Uryasev S. Maximization of AUC and buffered AUC in binary classification. Mathematical Programming. 2019. Series A and B. Vol. 174, N 1–2. P. 575–612. doi.org/10.1007/s10107-018-1312-2 .


9. Rockafellar R.T., Uryasev S. Minimizing buffered probability of exceedance by progressive hedging. Math. Program. 2020. Vol. 181. P. 453–472. doi.org/10.1007/s10107-019-01462-4.


10. Zrazhevsky G.M., Golodnikov A.N., Uryasev S.P., Zrazhevsky A.G. Application of buffered probability of exceedance in reliability optimization problems. Cybernetics and Systems Analysis. 2020. Vol. 56, N 3. P. 476–484. doi.org/10.1007/s10559-020-00263-4.


11. Golodnikov A., Kuzmenko V., Uryasev S. CVaR regression based on the relation between CVaR and mixed-quantile quadrangles. Journal of Risk and Financial Management. 2019. Vol. 12. P. 107. doi.org/10.3390/jrfm12030107 .


12. Пепеляєв В.А., Голодніков О.М., Голоднікова Н.О. Метод оптимізації надійності, альтернативний bPOE. Кібернетика та системний аналіз. 2022. T. 58, № 4. С. 112 –116.


13. Pepelyaev V.A., Golodnikova N.A. Mathematical methods for crop losses risk evaluation and account for sown areas planning. Cybernetics and Systems Analysis. 2014. Vol. 50, N 1. P. 60–67. doi.org/10.1007/s10559-014-9592-x .


14. Golodnikov A.N., Knopov P.S., Pepelyaev V.A. Estimation of reliability parameters under incomplete primary information. Theor. Decis. 2004. Vol. 57. P. 331–344. https://doi.org/10.1007/s11238-005-3217-9 .


15. Portfolio Safeguard. URL: www.aorda.com .


16. Test problems for nonLinear, stochastic, mixed-Integer optimization. URL: http://uryasev.ams.stonybrook.edu .


17. Omega Portfolio Rebalancing. URL: http://uryasev.ams.stonybrook.edu .


18. Classification by maximizing area under ROC curve (AUC). URL: http://uryasev.ams.stonybrook.edu .


19. Style classification with quantile regression. URL: http://uryasev.ams.stonybrook.edu .