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Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs

İhsan Yanıkoğlu (ihsan.yanikoglu***at***ozyegin.edu.tr)
Daniel Kuhn (daniel.kuhn***at***epfl.ch)

Abstract: 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 mixed-integer linear programs that are amenable to efficient numerical solution. The method is illustrated through a facility location problem involving sellers and customers with conflicting preferences.

Keywords: bilevel programming, stochastic programming, decision rules

Category 1: Stochastic Programming

Category 2: Robust Optimization


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Entry Submitted: 10/11/2016
Entry Accepted: 10/20/2016
Entry Last Modified: 04/03/2018

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