Journal
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
Volume 33, Issue 5, Pages 544-554Publisher
WILEY
DOI: 10.1002/asmb.2254
Keywords
bilevel optimization; quantile objective function; stochastic optimization; VaR-criterion; mixed-integer programming problem
Categories
Funding
- Deutsche Forschungsgemeinschaft
- Russian Science Foundation [15-11-10009]
- Ministry of Education and Science of the Russian Federation [2.2461.2017/PCh]
Ask authors/readers for more resources
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 (c) 2017 John Wiley & Sons, Ltd.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available