Solving convex quadratic bilevel programming problems using an enumeration sequential quadratic programming algorithm

Authors:
Jean Bosco Etoa
Affiliations:
Department of Economic and Management Sciences, University of Yaounde II, Soa, Yaounde, Cameroon and Cameroon High Commission, Ottawa, Canada K1S 2B4
Venue:
Journal of Global Optimization
Year:
2010

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Abstract

In this paper, we present an original method to solve convex bilevel programming problems in an optimistic approach. Both upper and lower level objective functions are convex and the feasible region is a polyhedron. The enumeration sequential linear programming algorithm uses primal and dual monotonicity properties of the primal and dual lower level objective functions and constraints within an enumeration frame work. New optimality conditions are given, expressed in terms of tightness of the constraints of lower level problem. These optimality conditions are used at each step of our algorithm to compute an improving rational solution within some indexes of lower level primal-dual variables and monotonicity networks as well. Some preliminary computational results are reported.