Solving Bilevel Programs Based on Lower-Level Mond-Weir Duality

Yu-Wei Li (), Gui-Hua Lin () and Xide Zhu ()
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Yu-Wei Li: School of Management, Shanghai University, Shanghai 200444, China
Gui-Hua Lin: School of Management, Shanghai University, Shanghai 200444, China
Xide Zhu: School of Management, Shanghai University, Shanghai 200444, China

INFORMS Journal on Computing, 2024, vol. 36, issue 5, 1225-1241

Abstract: This paper focuses on developing effective algorithms for solving a bilevel program. The most popular approach is to replace the lower-level problem with its Karush-Kuhn-Tucker conditions to generate a mathematical program with complementarity constraints (MPCC). However, MPCC does not satisfy the Mangasarian-Fromovitz constraint qualification (MFCQ) at any feasible point. In this paper, inspired by a recent work using the lower-level Wolfe duality (WDP), we apply the lower-level Mond-Weir duality to present a new reformulation, called MDP, for bilevel program. It is shown that, under mild assumptions, they are equivalent in globally or locally optimal sense. An example is given to show that, different from MPCC, MDP may satisfy the MFCQ at its feasible points. Relations among MDP, WDP, and MPCC are investigated. On this basis, we extend the MDP reformulation to present another new reformulation (called eMDP), which has similar properties to MDP. Furthermore, to compare two new reformulations with the MPCC and WDP approaches, we design a procedure to generate 150 tested problems randomly and comprehensive numerical experiments show that MDP has quite evident advantages over MPCC and WDP in terms of feasibility to the original bilevel programs, success efficiency, and average CPU time, whereas eMDP is far superior to all other three reformulations.

Keywords: bilevel program; Mond-Weir duality; Wolfe duality; MPCC; constraint qualification (search for similar items in EconPapers)
Date: 2024
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