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research article
Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs
We study stochastic bilevel programs where the leader chooses a binary here-and-now decision and the follower responds with a continuous wait-and-see-decision. Using modern decision rule approximations, we construct lower bounds on an optimistic version and upper bounds on a pessimistic version of the leader's problem. Both bounding problems are equivalent to explicit mixed-integer linear programs that are amenable to efficient numerical solution. The method is illustrated through a facility location problem involving sellers and customers with conflicting preferences.
Type
research article
Authors
Publication date
2018
Published in
Volume
28
Issue
1
Start page
198
End page
222
Note
Available from Optimization Online
Peer reviewed
REVIEWED
Written at
EPFL
EPFL units
Available on Infoscience
October 20, 2016
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