On solving simple bilevel programs with a nonconvex lower level program (Q2452381)

The authors present an imlepementable algorithm for constrained optimization problems with a convex set and a nonsmooth constraint. The key idea of the algorithm is to use a smoothing approximation function. The algorithm is applied to solve the simple bilevel program where the lower level program is a nonconvex minimization problem with a convex set constraint and the upper level program has a convex set constraint and its approximate problems. It is shown that, if the sequence of penalty parameters is bounded, then any accumulation point is a stationary point of the nonsmooth optimization problem, and, if the generated sequence is convergent and the extended Mangasarian-Fromovitz constraint qualification holds at the limit, then the limit point is a stationary point of the nonsmooth optimization problem. The presented algorithm has advantage over other nonsmooth algorithms such as gradient sampling algorithms in that there is no need to solve the lower level program at each iteration. Theoretical and numerical results show that the algorithm may perform well.