Bilevel stochastic linear programming problems with quantile criterion

We propose a setting for a bilevel stochastic linear programming problem with quantile criterion. We study continuity properties of the criterial function and prove the existence theorem for a solution. We propose a deterministic equivalent of the problem for the case of a scalar random parameter. We show an equivalent problem in the form of a two-stage stochastic programming problem with equilibrium constraints and quantile criterion. For the case of a discrete distribution of random parameters, the problem reduces to a mixed linear programming problem. We show results of numerical experiments.

Presented by the member of Editorial Board: A. I. Kibzun