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Pré-publication, Document de travail

Solving a class of bilevel programs with quadratic lower level

Abstract : We focus on a particular class of bilevel programs with a quadratic lower-level problem, which can be obtained by reformulating semi-infinite problems with an infinite number of quadratically parametrized constraints. We propose a new approach to solve this class of bilevel programs, based on the dual of the lower-level problem, which can lead to a convex or a semidefinite programming problem, depending on the parametrization of the lower level with respect to the upper-level variables. This approach is compared with a new tailored cutting plane algorithm, which is proved to be convergent. The rate of convergence of this cutting plane algorithm, directly related to the iteration index, is derived when the upper-level objective function is strongly convex, and under a strict feasibility assumption. We successfully test the two proposed methods on two applications: the constrained quadratic regression and a zero-sum game with cubic payoff.
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Pré-publication, Document de travail
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https://hal.archives-ouvertes.fr/hal-03339887
Contributeur : Martina Cerulli Connectez-vous pour contacter le contributeur
Soumis le : jeudi 9 septembre 2021 - 17:12:03
Dernière modification le : mardi 15 mars 2022 - 03:37:01
Archivage à long terme le : : samedi 11 décembre 2021 - 07:26:21

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Cerulli_SolvingAClassOfBP.pdf
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  • HAL Id : hal-03339887, version 1

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Martina Cerulli, Antoine Oustry, Claudia d'Ambrosio, Leo Liberti. Solving a class of bilevel programs with quadratic lower level. 2021. ⟨hal-03339887v1⟩

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