期刊
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
卷 33, 期 5, 页码 544-554出版社
WILEY
DOI: 10.1002/asmb.2254
关键词
bilevel optimization; quantile objective function; stochastic optimization; VaR-criterion; mixed-integer programming problem
类别
资金
- Deutsche Forschungsgemeinschaft
- Russian Science Foundation [15-11-10009]
- Ministry of Education and Science of the Russian Federation [2.2461.2017/PCh]
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.
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