Abstract
Bi-level stochastic programming is a process of taking the optimal value of the lower level as the feedback to the upper level, and the constraint that the lower level has one single optimal solution can be relaxed in calculation. Using the maximum entropy method, the present study proposed an approximate calculation method for stochastic programming. The proposed method constructs a maximum entropy function for lower-level programming to approximately express the lower-level optimal value function, converts the bi-level stochastic programming problem into a single-level stochastic programming program, and hence obtains a calculation method for an approximation optimal solution (ε-optimal solution) of the bi-level stochastic programming problem.
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