Thursday, 13:45 - 14:10 h, Room: MA 141


Charlotte Henkel
Some remarks on linear stochastic bilevel programs

Coauthor: RĂ¼diger Schultz


Compared to linear stochastic two-stage programs, linear stochastic bilevel problems (LSBP) exhibit a strongly increased complexity. Starting from a deterministic linear bilevel problem, we derive structural properties for LSBPs using state-of-the-art parametric optimization techniques. As an outcome, we obtain rather weak analytical results. This significantly effects risk measures and solution algorithms for this kind of problem.
We emphasize our results by instructive examples.


Talk 2 of the invited session Thu.2.MA 141
"Two-stage stochastic programming and beyond" [...]
Cluster 22
"Stochastic optimization" [...]


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