Outer Approximation for Global Optimization of Mixed-Integer Quadratic Bilevel Problems

Kleinert T, Grimm V, Schmidt M (2021)

Publication Language: English

Publication Status: Submitted

Publication Type: Journal article, Original article

Future Publication Type: Journal article

Publication year: 2021


DOI: 10.1007/s10107-020-01601-2


Bilevel optimization problems have received a lot of attention in the last years and decades. Besides numerous theoretical developments there also evolved novel solution algorithms for mixed-integer linear bilevel problems and the most recent algorithms use branch-and-cut techniques from mixedinteger programming that are especially tailored for the bilevel context. In this paper, we consider MIQP-QP bilevel problems, ie, models with a mixed-integer convex-quadratic upper level and a continuous convex-quadratic lower level. This setting allows for a strong-duality-based transformation of the lower level which yields, in general, an equivalent nonconvex single-level reformulation of the original bilevel problem. Under reasonable assumptions, we can derive both a multi-and a single-tree outer-approximation-based cutting-plane algorithm. We show finite termination and correctness of both methods and present extensive numerical results that illustrate the applicability of the approaches. It turns out that the proposed methods are capable of solving bilevel instances with several thousand variables and constraints and significantly outperform classical solution approaches.

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Kleinert, T., Grimm, V., & Schmidt, M. (2021). Outer Approximation for Global Optimization of Mixed-Integer Quadratic Bilevel Problems. Mathematical Programming. https://doi.org/10.1007/s10107-020-01601-2


Kleinert, Thomas, Veronika Grimm, and Martin Schmidt. "Outer Approximation for Global Optimization of Mixed-Integer Quadratic Bilevel Problems." Mathematical Programming (2021).

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