Robust Linear Bilevel Programming under Ellipsoidal Uncertainty
Yan Li, Gang Du · Systems Engineering · 2011
The robust solution is defined for the linear bilevel programming(BLP) with the coefficients under the ellipsoidal disturbance in objective functions and constrain conditions.Based on the assumption that the decision-makers of the upper and lower levels need to acquire the robust solution,the original uncertain BLP was converted to the deterministic BLP constrained with second-order cone,and then the mixed strategy,which solved the upper programming using genetic algorithm and the lower using the non-interior continuation method,is proposed to obtain the robust solution.A numerical example is shown to demonstrate the effectiveness and feasibility of the algorithm.