Bilevel decision via variational inequalities

Authors:
Yeong-Cheng Liou;Jen-Chih Yao
Affiliations:
-;-
Venue:
Computers & Mathematics with Applications
Year:
2005

Citing 3
Cited 1

Variational inequalities with generalized monotone operators

Mathematics of Operations Research
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

SIAM Review
Stochastic mathematical programs with equilibrium constraints

Operations Research Letters

Existence and algorithms for bilevel generalized mixed equilibrium problems in Banach spaces

Journal of Global Optimization

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Abstract

In this paper, we introduce the group decision problems in a bilevel programming structure, and its corresponding optimization with equilibrium constraints (MPEC for short) problems. For these models, we establish new existence results, which extend some known results to infinite-dimensional space setting. We also establish the links between group decision problems in a bilevel programming structure and its corresponding MPEC problems in Banach spaces. An interesting example about the mean-variance portfolio optimization is given and the existence and uniqueness results for its corresponding MPEC problems are obtained.