Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem

The paper is devoted to the stochastic optimistic bilevel optimization problem with quantile criterion in the upper level problem. If the probability distribution is finite, the problem can be transformed into a mixed‐integer nonlinear optimization problem. We formulate assumptions guaranteeing that...

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Bibliographic Details

Published in:	Applied stochastic models in business and industry Vol. 33; no. 5; pp. 544 - 554
Main Authors:	Dempe, Stephan, Ivanov, Sergey, Naumov, Andrey
Format:	Journal Article
Language:	English
Published:	Bognor Regis Wiley Subscription Services, Inc 01.09.2017
Subjects:	bilevel optimization mixed‐integer programming problem Optimization Production planning quantile objective function stochastic optimization VaR‐criterion
ISSN:	1524-1904, 1526-4025
Online Access:	Get full text
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