589. Stability analysis for two-level value functions and application to numerically solve a pessimistic bilevel program
Invited abstract in session WB-7: Theory and methods for bilevel optimization, stream Bilevel and multilevel optimization.
Wednesday, 10:30-12:30Room: B100/5015
Authors (first author is the speaker)
| 1. | Alain Zemkoho
|
| Mathematics, University of Southampton |
Abstract
We present some stability results for a two-level value function, which is the optimal value function of a parametric optimization problem constrained by the optimal solution set of another parameteric optimization problem. We then show how to use these stability results to write down (and subsequently compute) the necessary optimality conditions of a pessimistic bilevel optimization problem. We then demonstrate how the corresponding relaxation–based numerical process can be used to calculate local and global–type optimal solutions for the pessimistic bilevel program if one is equipped with a solver for minmax programs involving coupled inner constraints.
Keywords
- Complementarity and variational problems
- Computational mathematical optimization
- Multi-level optimization
Status: accepted
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