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Finding Robust Global Optimal Values of Bilevel Polynomial Programs with Uncertain Linear Constraints

Author

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  • T. D. Chuong

    (University of New South Wales)

  • V. Jeyakumar

    (University of New South Wales)

Abstract

This paper studies a bilevel polynomial program involving box data uncertainties in both its linear constraint set and its lower-level optimization problem. We show that the robust global optimal value of the uncertain bilevel polynomial program is the limit of a sequence of values of Lasserre-type hierarchy of semidefinite linear programming relaxations. This is done by first transforming the uncertain bilevel polynomial program into a single-level non-convex polynomial program using a dual characterization of the solution of the lower-level program and then employing the powerful Putinar’s Positivstellensatz of semi-algebraic geometry. We provide a numerical example to show how the robust global optimal value of the uncertain bilevel polynomial program can be calculated by solving a semidefinite programming problem using the MATLAB toolbox YALMIP.

Suggested Citation

  • T. D. Chuong & V. Jeyakumar, 2017. "Finding Robust Global Optimal Values of Bilevel Polynomial Programs with Uncertain Linear Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(2), pages 683-703, May.
    • Handle: RePEc:spr:joptap:v:173:y:2017:i:2:d:10.1007_s10957-017-1069-4
    DOI: 10.1007/s10957-017-1069-4
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    References listed on IDEAS

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    1. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
    2. S. Dempe & N. Gadhi & A. B. Zemkoho, 2013. "New Optimality Conditions for the Semivectorial Bilevel Optimization Problem," Journal of Optimization Theory and Applications, Springer, vol. 157(1), pages 54-74, April.
    3. Omar Ben-Ayed & Charles E. Blair, 1990. "Computational Difficulties of Bilevel Linear Programming," Operations Research, INFORMS, vol. 38(3), pages 556-560, June.
    4. V. Jeyakumar & J. Vicente-Pérez, 2014. "Dual Semidefinite Programs Without Duality Gaps for a Class of Convex Minimax Programs," Journal of Optimization Theory and Applications, Springer, vol. 162(3), pages 735-753, September.
    5. V. Jeyakumar & J. B. Lasserre & G. Li, 2014. "On Polynomial Optimization Over Non-compact Semi-algebraic Sets," Journal of Optimization Theory and Applications, Springer, vol. 163(3), pages 707-718, December.
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    Cited by:

    1. Beck, Yasmine & Ljubić, Ivana & Schmidt, Martin, 2023. "A survey on bilevel optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 311(2), pages 401-426.
    2. Thai Doan Chuong, 2020. "Optimality conditions for nonsmooth multiobjective bilevel optimization problems," Annals of Operations Research, Springer, vol. 287(2), pages 617-642, April.
    3. Christoph Buchheim & Dorothee Henke, 2022. "The robust bilevel continuous knapsack problem with uncertain coefficients in the follower’s objective," Journal of Global Optimization, Springer, vol. 83(4), pages 803-824, August.

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