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An algorithm for the global resolution of linear stochastic bilevel programs

Henkel, Charlotte

The aim of this thesis 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 uses 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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Henkel, Charlotte: An algorithm for the global resolution of linear stochastic bilevel programs. 2014.

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