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Pessimistic bilevel linear optimization

Stephan Dempe(dempe***at***tu-freiberg.de)
Guimei Luo(lgm2008***at***163.com)
Susanne Franke(susanne.franke***at***math.tu-freiberg.de)

Abstract: In this paper, we investigate the pessimistic bilevel linear optimization problem (PBLOP). Based on the lower level optimal value function and duality, the PBLOP can be transformed to a single-level while nonconvex and nonsmooth optimization problem. By use of linear optimization duality, we obtain a tractable and equivalent transformation and propose algorithms for computing global or local optimal solutions. One small example is presented to illustrate the feasibility of the method.

Keywords: Pessimistic bilevel optimization, bilevel linear optimization problem, nonconvex optimization, basic matrix, optimal value function.

Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation: TU Bergakademie Freiberg, Fakultät für Mathematik und Informatik, Preprint 2016 - 05

Download: [PDF]

Entry Submitted: 04/18/2016
Entry Accepted: 04/18/2016
Entry Last Modified: 04/18/2016

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