Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs
نویسندگان
چکیده
منابع مشابه
Decision Rule Bounds for 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 mixedinteger linear progra...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2018
ISSN: 1052-6234,1095-7189
DOI: 10.1137/16m1098486