Bilevel programs with extremal value function global optimality英文文献资料.docVIP

BILEVELPROGRAMSWITHEXTREMALVALUE FUNCTION:GLOBALOPTIMALITY ABDELMALEK ABOUSSOROR, HICHAMBABAHADDA, ANDABDELATIFMANSOURI Received4May2004andinrevisedform29October2004 Forabilevelprogramwithextremalvaluefunction,anecessaryandsu?cientcondition forglobaloptimalityisgiven,whichreducesthebilevelprogramtoamax-minproblem withlinkedconstraints.Also,forthecasewheretheextremalvaluefunctionispolyhedral, thisoptimalityconditiongivesthepossibilityofaresolutionviaamaximizationproblem ofapolyhedral convexfunction overaconvexset.Finally,thiscaseiscompleted byan algorithm. 1.Introduction Weconsiderthefollowingbilevelprogrammingproblem: (S)
 min F x,v(x ) , (1.1) (1.2) x∈Rn G(x)≤0 wherev(x)istheminimalvalueofthelower-levelproblem (P(x)) min f(x,y), y∈Rm g(x,y)≤0 and
 F:Rn×R?→R, f :Rn×Rm?→R, = G1,...,Gp :Rn?→Rp, G
 (1.3) (1.4) g= g ,...,gq :Rn×Rm?→Rq, 1 areconvexfunctions.Set     ?= x∈Rn/G(x)≤0 , Y(x)= y∈Rm/g(x,y)≤0 . Copyright?2005HindawiPublishingCorporation InternationalJournalofMathematicsandMathematicalSciences2005:3(2005)419–435 DOI:10.1155/IJMMS.2005.419  420 Bilevelprograms: globaloptimality The problem (S) which is called a bilevel program with extremal value function, cor- responds toatwo-player gamewherealeaderplaysagainst afollower.Theleaderwith the objective function F chooses ?rst astrategy x∈?,and then the follower with the objectivefunction f reactsoptimallybychoosing y∈Y(x).Itisassumedthattheleader evaluatestheperformance ofthefollowerbyhisminimalvaluev(x).Hence,heincludes itinhisobjective function F.Amoregeneral formulation isconsidered in[6,12,13], wheretheleaderincludes v(x)intheobjective andtheconstraint functions. Manyop- timization problems arising inpractice canbeclassi?ed intothetype of(S),wequote, forexample, thetwo-leveldesignproblemandthegeneral resourceallocation problem foradecentralized system (for more details and examples wereferto[13]). Asiswell known, themarginal function visnotdi?erentiable ingeneral, andh