AHA-BUCH

An Algorithm for Linear Stochastic Bilevel Problems

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ISBN-13:
9783838150376
Einband:
Paperback
Seiten:
120
Autor:
Charlotte Henkel
Gewicht:
195 g
Format:
220x150x7 mm
Sprache:
Englisch
Beschreibung:

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.

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