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research article

Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs

Yanikoglu, Ihsan
•
Kuhn, Daniel  
2018
SIAM Journal on Optimization

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.

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Type
research article
DOI
10.1137/16M1098486
Author(s)
Yanikoglu, Ihsan
Kuhn, Daniel  
Date Issued

2018

Published in
SIAM Journal on Optimization
Volume

28

Issue

1

Start page

198

End page

222

Subjects

Bilevel programming

•

Stochastic programming

•

Decision rules

Note

Available from Optimization Online

URL

URL

http://www.optimization-online.org/DB_HTML/2016/10/5678.html
Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
RAO  
Available on Infoscience
October 20, 2016
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/130604
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