arXiv (Cornell University)
Solving Decision-Dependent Robust Problems as Bilevel Optimization Problems
March 2025 • Henri Lefebvre, Martin Schmidt, S. Edward Stevens, Johannes Thürauf
Both bilevel and robust optimization are established fields of mathematical optimization and operations research. However, only until recently, the similarities in their mathematical structure has neither been studied theoretically nor exploited computationally. Based on the recent results by \textcite{goerigk2025}, this paper is the first one that reformulates a given strictly robust optimization problem with a decision-dependent uncertainty set as an equivalent bilevel optimization problem and then uses solution…