IDEAS home Printed from https://ideas.repec.org/a/spr/jglopt/v60y2014i3p425-458.html
   My bibliography  Save this article

Branch-and-Sandwich: a deterministic global optimization algorithm for optimistic bilevel programming problems. Part I: Theoretical development

Author

Listed:
  • Polyxeni-Margarita Kleniati
  • Claire Adjiman

Abstract

We present a global optimization algorithm, Branch-and-Sandwich, for optimistic bilevel programming problems that satisfy a regularity condition in the inner problem. The functions involved are assumed to be nonconvex and twice continuously differentiable. The proposed approach can be interpreted as the exploration of two solution spaces (corresponding to the inner and the outer problems) using a single branch-and-bound tree. A novel branching scheme is developed such that classical branch-and-bound is applied to both spaces without violating the hierarchy in the decisions and the requirement for (global) optimality in the inner problem. To achieve this, the well-known features of branch-and-bound algorithms are customized appropriately. For instance, two pairs of lower and upper bounds are computed: one for the outer optimal objective value and the other for the inner value function. The proposed bounding problems do not grow in size during the algorithm and are obtained from the corresponding problems at the parent node. Copyright The Author(s) 2014

Suggested Citation

  • Polyxeni-Margarita Kleniati & Claire Adjiman, 2014. "Branch-and-Sandwich: a deterministic global optimization algorithm for optimistic bilevel programming problems. Part I: Theoretical development," Journal of Global Optimization, Springer, vol. 60(3), pages 425-458, November.
    • Handle: RePEc:spr:jglopt:v:60:y:2014:i:3:p:425-458
    DOI: 10.1007/s10898-013-0121-7
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10898-013-0121-7
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10898-013-0121-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bard, Jonathan F, 1983. "Coordination of a multidivisional organization through two levels of management," Omega, Elsevier, vol. 11(5), pages 457-468.
    2. Stein, Oliver & Still, Georg, 2002. "On generalized semi-infinite optimization and bilevel optimization," European Journal of Operational Research, Elsevier, vol. 142(3), pages 444-462, November.
    3. Jerome Bracken & James T. McGill, 1974. "Defense Applications of Mathematical Programs with Optimization Problems in the Constraints," Operations Research, INFORMS, vol. 22(5), pages 1086-1096, October.
    4. Bard, Jonathan F. & Plummer, John & Claude Sourie, Jean, 2000. "A bilevel programming approach to determining tax credits for biofuel production," European Journal of Operational Research, Elsevier, vol. 120(1), pages 30-46, January.
    5. Stephan Dempe & Alain B. Zemkoho, 2011. "The Generalized Mangasarian-Fromowitz Constraint Qualification and Optimality Conditions for Bilevel Programs," Journal of Optimization Theory and Applications, Springer, vol. 148(1), pages 46-68, January.
    6. Bard, JF & Moore, JT, 1990. "Production planning with variable demand," Omega, Elsevier, vol. 18(1), pages 35-42.
    7. Benoît Colson & Patrice Marcotte & Gilles Savard, 2007. "An overview of bilevel optimization," Annals of Operations Research, Springer, vol. 153(1), pages 235-256, September.
    8. ,, 2000. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 16(2), pages 287-299, April.
    9. Agustín Bompadre & Alexander Mitsos, 2012. "Convergence rate of McCormick relaxations," Journal of Global Optimization, Springer, vol. 52(1), pages 1-28, January.
    10. Jonathan F. Bard, 1983. "An Algorithm for Solving the General Bilevel Programming Problem," Mathematics of Operations Research, INFORMS, vol. 8(2), pages 260-272, May.
    11. M. S. Bazaraa & J. J. Goode & C. M. Shetty, 1972. "Constraint Qualifications Revisited," Management Science, INFORMS, vol. 18(9), pages 567-573, May.
    12. Alexander Mitsos, 2010. "Global solution of nonlinear mixed-integer bilevel programs," Journal of Global Optimization, Springer, vol. 47(4), pages 557-582, August.
    13. LeBlanc, Larry J. & Boyce, David E., 1986. "A bilevel programming algorithm for exact solution of the network design problem with user-optimal flows," Transportation Research Part B: Methodological, Elsevier, vol. 20(3), pages 259-265, June.
    14. S. Dempe, 1997. "First-Order Necessary Optimality Conditions for General Bilevel Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 735-739, December.
    15. J. A. Mirrlees, 1999. "The Theory of Moral Hazard and Unobservable Behaviour: Part I," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(1), pages 3-21.
    16. Polyxeni-M. Kleniati & Claire Adjiman, 2014. "Branch-and-Sandwich: a deterministic global optimization algorithm for optimistic bilevel programming problems. Part II: Convergence analysis and numerical results," Journal of Global Optimization, Springer, vol. 60(3), pages 459-481, November.
    17. Jane J. Ye, 2006. "Constraint Qualifications and KKT Conditions for Bilevel Programming Problems," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 811-824, November.
    18. R. G. Cassidy & M. J. L. Kirby & W. M. Raike, 1971. "Efficient Distribution of Resources Through Three Levels of Government," Management Science, INFORMS, vol. 17(8), pages 462-473, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. R. Paulavičius & C. S. Adjiman, 2020. "New bounding schemes and algorithmic options for the Branch-and-Sandwich algorithm," Journal of Global Optimization, Springer, vol. 77(2), pages 197-225, June.
    2. Polyxeni-M. Kleniati & Claire Adjiman, 2014. "Branch-and-Sandwich: a deterministic global optimization algorithm for optimistic bilevel programming problems. Part II: Convergence analysis and numerical results," Journal of Global Optimization, Springer, vol. 60(3), pages 459-481, November.
    3. Hatim Djelassi & Moll Glass & Alexander Mitsos, 2019. "Discretization-based algorithms for generalized semi-infinite and bilevel programs with coupling equality constraints," Journal of Global Optimization, Springer, vol. 75(2), pages 341-392, October.
    4. Florensa, Carlos & Garcia-Herreros, Pablo & Misra, Pratik & Arslan, Erdem & Mehta, Sanjay & Grossmann, Ignacio E., 2017. "Capacity planning with competitive decision-makers: Trilevel MILP formulation, degeneracy, and solution approaches," European Journal of Operational Research, Elsevier, vol. 262(2), pages 449-463.
    5. Richard Oberdieck & Nikolaos A. Diangelakis & Styliani Avraamidou & Efstratios N. Pistikopoulos, 2017. "On unbounded and binary parameters in multi-parametric programming: applications to mixed-integer bilevel optimization and duality theory," Journal of Global Optimization, Springer, vol. 69(3), pages 587-606, November.
    6. Jörg Fliege & Andrey Tin & Alain Zemkoho, 2021. "Gauss–Newton-type methods for bilevel optimization," Computational Optimization and Applications, Springer, vol. 78(3), pages 793-824, April.
    7. Yasmine Beck & Daniel Bienstock & Martin Schmidt & Johannes Thürauf, 2023. "On a Computationally Ill-Behaved Bilevel Problem with a Continuous and Nonconvex Lower Level," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 428-447, July.
    8. Boukouvala, Fani & Misener, Ruth & Floudas, Christodoulos A., 2016. "Global optimization advances in Mixed-Integer Nonlinear Programming, MINLP, and Constrained Derivative-Free Optimization, CDFO," European Journal of Operational Research, Elsevier, vol. 252(3), pages 701-727.
    9. Dajun Yue & Jiyao Gao & Bo Zeng & Fengqi You, 2019. "A projection-based reformulation and decomposition algorithm for global optimization of a class of mixed integer bilevel linear programs," Journal of Global Optimization, Springer, vol. 73(1), pages 27-57, January.
    10. Burcu Beykal & Styliani Avraamidou & Ioannis P. E. Pistikopoulos & Melis Onel & Efstratios N. Pistikopoulos, 2020. "DOMINO: Data-driven Optimization of bi-level Mixed-Integer NOnlinear Problems," Journal of Global Optimization, Springer, vol. 78(1), pages 1-36, September.
    11. Maximilian Merkert & Galina Orlinskaya & Dieter Weninger, 2022. "An exact projection-based algorithm for bilevel mixed-integer problems with nonlinearities," Journal of Global Optimization, Springer, vol. 84(3), pages 607-650, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lorenzo Lampariello & Simone Sagratella, 2015. "It is a matter of hierarchy: a Nash equilibrium problem perspective on bilevel programming," DIAG Technical Reports 2015-07, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
    2. Lorenzo Lampariello & Simone Sagratella, 2017. "A Bridge Between Bilevel Programs and Nash Games," Journal of Optimization Theory and Applications, Springer, vol. 174(2), pages 613-635, August.
    3. S. Dempe & S. Franke, 2016. "On the solution of convex bilevel optimization problems," Computational Optimization and Applications, Springer, vol. 63(3), pages 685-703, April.
    4. Bo Zeng, 2020. "A Practical Scheme to Compute the Pessimistic Bilevel Optimization Problem," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 1128-1142, October.
    5. Gaoxi Li & Xinmin Yang, 2021. "Convexification Method for Bilevel Programs with a Nonconvex Follower’s Problem," Journal of Optimization Theory and Applications, Springer, vol. 188(3), pages 724-743, March.
    6. R. Paulavičius & C. S. Adjiman, 2020. "New bounding schemes and algorithmic options for the Branch-and-Sandwich algorithm," Journal of Global Optimization, Springer, vol. 77(2), pages 197-225, June.
    7. Jörg Fliege & Andrey Tin & Alain Zemkoho, 2021. "Gauss–Newton-type methods for bilevel optimization," Computational Optimization and Applications, Springer, vol. 78(3), pages 793-824, April.
    8. Puchit Sariddichainunta & Masahiro Inuiguchi, 2017. "Global optimality test for maximin solution of bilevel linear programming with ambiguous lower-level objective function," Annals of Operations Research, Springer, vol. 256(2), pages 285-304, September.
    9. Dajun Yue & Jiyao Gao & Bo Zeng & Fengqi You, 2019. "A projection-based reformulation and decomposition algorithm for global optimization of a class of mixed integer bilevel linear programs," Journal of Global Optimization, Springer, vol. 73(1), pages 27-57, January.
    10. Hatim Djelassi & Moll Glass & Alexander Mitsos, 2019. "Discretization-based algorithms for generalized semi-infinite and bilevel programs with coupling equality constraints," Journal of Global Optimization, Springer, vol. 75(2), pages 341-392, October.
    11. S. Dempe & J. F. Bard, 2001. "Bundle Trust-Region Algorithm for Bilinear Bilevel Programming," Journal of Optimization Theory and Applications, Springer, vol. 110(2), pages 265-288, August.
    12. Hirotaka Takano & Ryosuke Hayashi & Hiroshi Asano & Tadahiro Goda, 2021. "Optimal Sizing of Battery Energy Storage Systems Considering Cooperative Operation with Microgrid Components," Energies, MDPI, vol. 14(21), pages 1-13, November.
    13. Juan S. Borrero & Oleg A. Prokopyev & Denis Sauré, 2019. "Sequential Interdiction with Incomplete Information and Learning," Operations Research, INFORMS, vol. 67(1), pages 72-89, January.
    14. Yasmine Beck & Daniel Bienstock & Martin Schmidt & Johannes Thürauf, 2023. "On a Computationally Ill-Behaved Bilevel Problem with a Continuous and Nonconvex Lower Level," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 428-447, July.
    15. Pramanik, Surapati & Roy, Tapan Kumar, 2007. "Fuzzy goal programming approach to multilevel programming problems," European Journal of Operational Research, Elsevier, vol. 176(2), pages 1151-1166, January.
    16. Ankur Sinha & Zhichao Lu & Kalyanmoy Deb & Pekka Malo, 2020. "Bilevel optimization based on iterative approximation of multiple mappings," Journal of Heuristics, Springer, vol. 26(2), pages 151-185, April.
    17. Richard Oberdieck & Nikolaos A. Diangelakis & Styliani Avraamidou & Efstratios N. Pistikopoulos, 2017. "On unbounded and binary parameters in multi-parametric programming: applications to mixed-integer bilevel optimization and duality theory," Journal of Global Optimization, Springer, vol. 69(3), pages 587-606, November.
    18. Gaoxi Li & Zhongping Wan, 2018. "On Bilevel Programs with a Convex Lower-Level Problem Violating Slater’s Constraint Qualification," Journal of Optimization Theory and Applications, Springer, vol. 179(3), pages 820-837, December.
    19. Allan Peñafiel Mera & Chandra Balijepalli, 2020. "Towards improving resilience of cities: an optimisation approach to minimising vulnerability to disruption due to natural disasters under budgetary constraints," Transportation, Springer, vol. 47(4), pages 1809-1842, August.
    20. Alexander Mitsos, 2010. "Global solution of nonlinear mixed-integer bilevel programs," Journal of Global Optimization, Springer, vol. 47(4), pages 557-582, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jglopt:v:60:y:2014:i:3:p:425-458. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.