Bilevel Integer Programs with Stochastic Right-Hand Sides

Junlong Zhang () and Osman Y. Özaltın ()
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Junlong Zhang: Department of Industrial Engineering, Tsinghua University, Beijing 100084, China
Osman Y. Özaltın: Edward P. Fitts Department of Industrial and Systems Engineering, North Carolina State University, Raleigh, North Carolina 27695

INFORMS Journal on Computing, 2021, vol. 33, issue 4, 1644-1660

Abstract: We develop an exact value function-based approach to solve a class of bilevel integer programs with stochastic right-hand sides. We first study structural properties and design two methods to efficiently construct the value function of a bilevel integer program. Most notably, we generalize the integer complementary slackness theorem to bilevel integer programs. We also show that the value function of a bilevel integer program can be characterized by its values on a set of so-called bilevel minimal vectors. We then solve the value function reformulation of the original bilevel integer program with stochastic right-hand sides using a branch-and-bound algorithm. We demonstrate the performance of our solution methods on a set of randomly generated instances. We also apply the proposed approach to a bilevel facility interdiction problem. Our computational experiments show that the proposed solution methods can efficiently optimize large-scale instances. The performance of our value function-based approach is relatively insensitive to the number of scenarios, but it is sensitive to the number of constraints with stochastic right-hand sides. Summary of Contribution: Bilevel integer programs arise in many different application areas of operations research including supply chain, energy, defense, and revenue management. This paper derives structural properties of the value functions of bilevel integer programs. Furthermore, it proposes exact solution algorithms for a class of bilevel integer programs with stochastic right-hand sides. These algorithms extend the applicability of bilevel integer programs to a larger set of decision-making problems under uncertainty.

Keywords: bilevel programming; stochastic programming; integer programming; value function; branch and bound (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:orijoc:v:33:y:2021:i:4:p:1644-1660

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