Decision Rule Bounds for Stochastic Bilevel Programs
نویسندگان
چکیده
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 mixedinteger 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.
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