Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem
DOI10.1002/ASMB.2254zbMATH Open1407.90243OpenAlexW2608372501MaRDI QIDQ4624952FDOQ4624952
Authors: Stephan Dempe, Sergey V. Ivanov, A. V. Naumov 
Publication date: 20 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2254
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stochastic optimizationbilevel optimizationmixed integer programmingquantile objective functionVaR-criterion
Multi-objective and goal programming (90C29) Nonlinear programming (90C30) Stochastic programming (90C15) Mixed integer programming (90C11)
Cites Work
- Practical bilevel optimization. Algorithms and applications
- Foundations of bilevel programming
- Annotated Bibliography on Bilevel Programming and Mathematical Programs with Equilibrium Constraints
- A Representation and Economic Interpretation of a Two-Level Programming Problem
- Bilevel programming problems. Theory, algorithms and applications to energy networks
- Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
- On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
- Title not available (Why is that?)
- Bilevel stochastic linear programming problems with quantile criterion
- A necessary and sufficient regularity condition to have bounded multipliers in nonconvex programming
- Safety-first portfolio selection
- Comparison of two algorithms for solving a two-stage bilinear stochastic programming problem with quantile criterion
- The solution approach to linear fuzzy bilevel optimization problems
Cited In (15)
- A solution method for stochastic multilevel programming problems. A systematic sampling evolutionary approach
- On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
- Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria
- A survey on bilevel optimization under uncertainty
- Risk-averse models in bilevel stochastic linear programming
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- Exact methods for discrete \({\varGamma}\)-robust interdiction problems with an application to the bilevel knapsack problem
- A systematic sampling evolutionary (SSE) method for stochastic bilevel programming problems
- Bilevel stochastic linear programming problems with quantile criterion
- Bilevel linear optimization under uncertainty
- A survey on mixed-integer programming techniques in bilevel optimization
- A robust approach for modeling limited observability in bilevel optimization
- Comparing the solvers for the mixed integer linear programming problems and the software environments that call them
- A Bilevel Stochastic Programming Problem with Random Parameters in the Follower’s Objective Function
- Bilevel optimization: theory, algorithms, applications and a bibliography
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