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

Stephan Dempe, Sergey Ivanov and Andrey Naumov

Applied Stochastic Models in Business and Industry, 2017, vol. 33, issue 5, 544-554

Abstract: 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 an optimal solution exists. A production planning problem is used to illustrate usefulness of the model. Copyright © 2017 John Wiley & Sons, Ltd.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1002/asmb.2254

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:33:y:2017:i:5:p:544-554

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().