bilevel programming

libDIPS — Discretization-Based Semi-Infinite and Bilevel Programming Solvers

  • Aron Zingler
  • Alexander Mitsos
  • Daniel Jungen
  • Hatim Djelassi
    • Categories Optimization Software and Modeling Systems, Robust Optimization, Semi-infinite Programming Tags , , , , ,

    We consider several hierarchical optimization programs: (generalized) semi-infinite and existence-constrained semi-infinite programs, minmax, and bilevel programs. Multiple adaptive discretization-based algorithms have been published for these program classes in recent decades. However, rigorous numerical performance comparisons between these algorithms are lacking. Indeed, if numerical comparisons are provided at all, they usually compare a small selection of … Read more

    Efficient Formulations for Multiple Allocation Hub Network Interdiction Problems

  • Prasanna Ramamoorthy
  • Sachin Jayaswal
  • Ankur Sinha
  • Navneet Vidyarthi
    • Categories Applications - OR and Management Sciences, Production and Logistics, Transportation Tags , , , ,

    In this paper, we study a network interdiction problem on a multiple allocation, uncapacitated hub network. The problem is formulated as a bilevel Stackelberg game between an attacker and a defender, where the attacker identifies r out of p hubs to interdict so as to maximize the worst-case post-interdiction performance of the system with the … Read more

    Shortest Path Network Interdiction with Asymmetric Uncertainty

  • She'ifa Punla-Green
  • John E. Mitchell
  • Jared Gearhart
  • William E. Hart
  • Cynthia A. Phillips
    • Categories Nonlinear Optimization Tags , , , ,

    This paper considers an extension of the shortest path network interdiction problem that incorporates robustness to account for parameter uncertainty. The shortest path interdiction problem is a game of two players with conflicting agendas and capabilities: an evader, who traverses the arcs of a network from a source node to a sink node using the … Read more

    Portfolio optimization in the presence of estimation errors on the expected asset returns

  • Gérard Cornuéjols
  • Ozgun Elci
  • Matthias Köppe
    • Categories Finance and Economics, Robust Optimization Tags , , ,

    It is well known that the classical Markowitz model for portfolio optimization is extremely sensitive to estimation errors on the expected asset returns. Robust optimization mitigates this issue. We focus on ellipsoidal uncertainty sets around the point estimates of the expected asset returns. We investigate the performance of diagonal estimation-error matrices in the description of … Read more