Direct search algorithm for bilevel programming problems

Authors:
Ayalew Getachew Mersha;Stephan Dempe
Affiliations:
Department of Mathematics and Computer Science, Technical University Bergakademie, Freiberg, Germany;Department of Mathematics and Computer Science, Technical University Bergakademie, Freiberg, Germany
Venue:
Computational Optimization and Applications
Year:
2011

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Abstract

In this paper, we study the application of a class of direct search methods to bilevel programming with convex lower level problems with strongly stable optimal solutions. In those methods, directions of descent in each iterations are selected within a finite set of directions. To guarantee the existence of such a finite set, we investigate the relation between the aperture of a descent cone at a non stationary point and the vector density of a finite set of directions. It is shown that the direct search method converges to a Clarke stationary point of the bilevel programming problem.