Easier than We Thought - A Practical Scheme to Compute Pessimistic Bilevel Optimization Problem

22 Pages Posted: 9 Sep 2015 Last revised: 27 Sep 2015

See all articles by Bo Zeng

Bo Zeng

University of Pittsburgh - Department of Industrial Engineering

Date Written: August 9, 2015

Abstract

In this paper, we present a new computation scheme for pessimistic bilevel optimization problem, which so far does not have any computational methods generally applicable yet. We first develop a tight relaxation and then design a simple scheme to ensure a feasible and optimal solution. Then, we discuss using this scheme to compute linear pessimistic bilevel problem and several variants. We also provide numerical demonstrations on instances of those linear pessimistic bilevel problems. Because of its simplicity and convenient interfaces to existing algorithms of the regular (optimistic) bilevel problem, we believe that the developed scheme is of a great significance in solving pessimistic bilevel optimization problems arising from various practical systems.

Keywords: pessimistic bilevel problem, algorithm, mixed integer program

Suggested Citation

Zeng, Bo, Easier than We Thought - A Practical Scheme to Compute Pessimistic Bilevel Optimization Problem (August 9, 2015). Available at SSRN: https://ssrn.com/abstract=2658342 or http://dx.doi.org/10.2139/ssrn.2658342

Bo Zeng (Contact Author)

University of Pittsburgh - Department of Industrial Engineering ( email )

135 N Bellefield Ave
Pittsburgh, PA 15260
United States

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