Directional necessary optimality conditions for bilevel programs
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Publication:5085136
DOI10.1287/MOOR.2021.1164zbMATH Open1489.90180arXiv2004.01783OpenAlexW3209016250MaRDI QIDQ5085136FDOQ5085136
Publication date: 27 June 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: The bilevel program is an optimization problem where the constraint involves solutions to a parametric optimization problem. It is well-known that the value function reformulation provides an equivalent single-level optimization problem but it results in a nonsmooth optimization problem which never satisfies the usual constraint qualification such as the Mangasarian-Fromovitz constraint qualification (MFCQ). In this paper we show that even the first order sufficient condition for metric subregularity (which is in general weaker than MFCQ) fails at each feasible point of the bilevel program. We introduce the concept of directional calmness condition and show that under {the} directional calmness condition, the directional necessary optimality condition holds. {While the directional optimality condition is in general sharper than the non-directional one,} the directional calmness condition is in general weaker than the classical calmness condition and hence is more likely to hold. {We perform the directional sensitivity analysis of the value function and} propose the directional quasi-normality as a sufficient condition for the directional calmness. An example is given to show that the directional quasi-normality condition may hold for the bilevel program.
Full work available at URL: https://arxiv.org/abs/2004.01783
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directional derivativesconstraint qualificationsnecessary optimality conditionsbilevel programsdirectional quasi-normalitydirectional subdifferentials
Optimality conditions and duality in mathematical programming (90C46) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31) Nonsmooth analysis (49J52)
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