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.


Publié dans:
SIAM Journal on Optimization, 28, 1, 198-222
Année
2018
Mots-clefs:
Note:
Available from Optimization Online
Laboratoires:




 Notice créée le 2016-10-20, modifiée le 2019-12-05

Lien externe:
Télécharger le document
URL
Évaluer ce document:

Rate this document:
1
2
3
 
(Pas encore évalué)