Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem

DOI10.1002/asmb.2254zbMath1407.90243OpenAlexW2608372501MaRDI QIDQ4624952

Sergey V. Ivanov, A. V. Naumov, Stephan Dempe

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

zbMATH Keywords

stochastic optimizationmixed integer programmingbilevel optimizationquantile objective functionVaR-criterion

Mathematics Subject Classification ID

Mixed integer programming (90C11) Multi-objective and goal programming (90C29) Nonlinear programming (90C30) Stochastic programming (90C15)

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