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Outer Approximation for Global Optimization of Mixed-Integer Quadratic Bilevel Problems

Thomas Kleinert (thomas.kleinert***at***fau.de)
Veronika Grimm (veronika.grimm***at***fau.de)
Martin Schmidt (martin.schmidt***at***uni-trier.de)

Abstract: Bilevel optimization problems have received a lot of attention in the last years and decades. Besides numerous theoretical developments there also evolved novel solution algorithms for mixed-integer linear bilevel problems and the most recent algorithms use branch-and-cut techniques from mixed-integer programming that are especially tailored for the bilevel context. In this paper, we consider MIQP-QP bilevel problems, i.e., models with a mixed-integer convex-quadratic upper level and a continuous convex-quadratic lower level. This setting allows for a strong-duality-based transformation of the lower level which yields, in general, an equivalent nonconvex single-level reformulation of the original bilevel problem. Under reasonable assumptions, we can derive both a multi- and a single-tree outer-approximation-based cutting-plane algorithm. We show finite termination and correctness of both methods and present extensive numerical results that illustrate the applicability of the approaches. It turns out that the proposed methods are capable of solving bilevel instances with several thousand variables and constraints and significantly outperform classical solution approaches.

Keywords: Bilevel optimization, Outer approximation, Quadratic programming, Convex mixed-integer nonlinear optimization

Category 1: Integer Programming ((Mixed) Integer Nonlinear Programming )

Category 2: Nonlinear Optimization (Quadratic Programming )

Citation:

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Entry Submitted: 12/23/2019
Entry Accepted: 12/23/2019
Entry Last Modified: 11/04/2020

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