An Algorithm for Linear Stochastic Bilevel Problems

von Charlotte Henkel

120 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

Linear stochastic bilevel problems -although explained quickly- pose some difficulties when it comes to solving, even without the stochasticity. The aim of this work is to find a technique that allows for the use of decomposition methods known from stochastic programming in the framework of linear stochastic bilevel problems. The uncertainty is modeled as a discrete, finite distribution on some probability space. Two approaches are made, one using the optimal value function of the lower level, whereas the second technique utilizes the Karush-Kuhn-Tucker conditions of the lower level. Using the latter approach, an integer-programming based algorithm for the global resolution of these problems is presented and evaluated.

• Themen: Mathematik und Naturwissenschaften Mathematik
• ISBN: 9783838150376
• Sprache: Englisch
• Erscheinungsdatum: 23.10.2015
• Größe: 220 x 150 mm
• Verlag: Südwestdeutscher Verlag für Hochschulschriften