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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Vydané v:	Applied stochastic models in business and industry Ročník 33; číslo 5; s. 544 - 554
Hlavní autori:	Dempe, Stephan, Ivanov, Sergey, Naumov, Andrey
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Bognor Regis Wiley Subscription Services, Inc 01.09.2017
Predmet:	bilevel optimization mixed‐integer programming problem Optimization Production planning quantile objective function stochastic optimization VaR‐criterion
ISSN:	1524-1904, 1526-4025
On-line prístup:	Získať plný text
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