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Book synopsis

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.

Book details

Book category Books in English Mathematics & science Mathematics

• Full title: Algorithm for Linear Stochastic Bilevel Problems
• Author: Henkel Charlotte
• Language: English
• Binding: Paperback
• Number of pages: 120
• EAN: 9783838150376
• ISBN: 3838150376
• ID: 02844977
• Publisher: Sudwestdeutscher Verlag Fur Hochschulschriften AG
• Weight: 186 g
• Dimensions: 229 × 152 × 7 mm
• Date of publishing: 23. October 2015

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