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.


Published in:
SIAM Journal on Optimization, 28, 1, 198-222
Year:
2018
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Available from Optimization Online
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 Record created 2016-10-20, last modified 2019-06-04

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