Bilevel optimization. Advances and next challenges
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Publication:2224944
DOI10.1007/978-3-030-52119-6zbMATH Open1470.90001arXiv2104.09003OpenAlexW3156469768MaRDI QIDQ2224944FDOQ2224944
Authors:
Publication date: 4 February 2021
Published in: Springer Optimization and Its Applications (Search for Journal in Brave)
Abstract: We introduce a unified framework for the study of multilevel mixed integer linear optimization problems and multistage stochastic mixed integer linear optimization problems with recourse. The framework highlights the common mathematical structure of the two problems and allows for the development of a common algorithmic framework. Focusing on the two-stage case, we investigate, in particular, the nature of the value function of the second-stage problem, highlighting its connection to dual functions and the theory of duality for mixed integer linear optimization problems, and summarize different reformulations. We then present two main solution techniques, one based on a Benders-like decomposition to approximate either the risk function or the value function, and the other one based on cutting plane generation.
Full work available at URL: https://arxiv.org/abs/2104.09003
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