Article ID: | iaor19921123 |
Country: | Switzerland |
Volume: | 34 |
Start Page Number: | 125 |
End Page Number: | 147 |
Publication Date: | Nov 1992 |
Journal: | Annals of Operations Research |
Authors: | Horst Reiner, Pardalos Panos M., Al-Khayyal Faiz A. |
Keywords: | bilevel optimization |
When the follower’s optimality conditions are both necessary and sufficient, the nonlinear bilevel program can be solved as a global optimization problem. The complementary slackness condition is usually the complicating constraint in such problems. The authors show how this constraint can be replaced by an equivalent system of convex and separable quadratic constraints. In this paper, they propose different methods for finding the global minimum of a concave function subject to quadratic separable constraints. The first method is of the branch and bound type, and is based on rectangular partitions to obtain upper and lower bounds. Convergence of the proposed algorithm is also proved. For computational purposes, different procedures that accelerate the convergence of the proposed algorithm are analysed. The second method is based on piecewise linear approximations of the constraint functions. When the constraints are convex, the problem is reduced to global concave minimization subject to linear constraints. In the case of non-convex constraints, the authors use zero-one integer variables to linearize the constraints. The number of integer variables depends only on the concave parts of the constraint functions.