On the choice of the penalty parameter for discrete-continuous linear bi-level problems reformulation

Massimiliano Caramia and Renato Mari

International Journal of Mathematics in Operational Research, 2015, vol. 7, issue 1, 103-118

Abstract: In this paper we focus on linear bi-level problems in which the variables controlled by the leader are discrete. It is known that such problems are equivalent to continuous linear bi-level problems in which the integrality requirements are relaxed and the leader's objective function is modified including a concave penalty function weighted by a parameter µ. The equivalence holds for a sufficiently large value of µ. A valid lower bound for µ is known in the literature. In the following, we provide an improvement of this lower bound and experiment the new lower bound on a set of test problems.

Keywords: linear programming; bi-level programming; concave penalty function; discrete-continuous programming; penalty parameters; problem reformulation. (search for similar items in EconPapers)
Date: 2015
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