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A Penalty Branch-and-Bound Method for Mixed-Integer Quadratic Bilevel Problems

Submission Status:under review
  • We propose an algorithm for solving bilevel problems with mixed-integer convex-quadratic upper level as well as convex-quadratic and continuous lower level. The method is based on a classic branch-and-bound procedure, where branching is performed on the integer constraints and on the complementarity constraints resulting from the KKT reformulation of the lower-level problem. However, instead of branching on constraints as usual, suitably chosen penalty terms are added to the objective function in order to create new subproblems in the tree. We prove the correctness of the method and present its applicability by some first numerical results.

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Author:Andreas Horländer, Martin Schmidt
Document Type:Preprint
Language:English
Date of Publication (online):2022/07/14
Release Date:2022/07/17
Tag:Bilevel optimization; Branch-and-bound; Mixed-integer optimization; Penalty methods
Page Number:9
Institutes:Universität Trier
Subprojects:A05
B08
Licence (German):License LogoCreative Commons - CC BY - Namensnennung 4.0 International