Journal
JOURNAL OF GLOBAL OPTIMIZATION
Volume 83, Issue 4, Pages 803-824Publisher
SPRINGER
DOI: 10.1007/s10898-021-01117-9
Keywords
Bilevel optimization; Robust optimization; Interval order
Funding
- Deutsche Forschungsgemeinschaft (DFG) [BU 2313/2, BU 2313/6]
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This study investigates a bilevel continuous knapsack problem with uncertainty and robust optimization. The complexity of the problem varies depending on the type of uncertainty sets, with some cases being solvable in polynomial time and others being NP-hard. The results provide insights into the impacts of uncertainty and robust optimization in bilevel problems.
We consider a bilevel continuous knapsack problem where the leader controls the capacity of the knapsack and the follower chooses an optimal packing according to his own profits, which may differ from those of the leader. To this bilevel problem, we add uncertainty in a natural way, assuming that the leader does not have full knowledge about the follower's problem. More precisely, adopting the robust optimization approach and assuming that the follower's profits belong to a given uncertainty set, our aim is to compute a solution that optimizes the worst-case follower's reaction from the leader's perspective. By investigating the complexity of this problem with respect to different types of uncertainty sets, we make first steps towards better understanding the combination of bilevel optimization and robust combinatorial optimization. We show that the problem can be solved in polynomial time for both discrete and interval uncertainty, but that the same problem becomes NP-hard when each coefficient can independently assume only a finite number of values. In particular, this demonstrates that replacing uncertainty sets by their convex hulls may change the problem significantly, in contrast to the situation in classical single-level robust optimization. For general polytopal uncertainty, the problem again turns out to be NP-hard, and the same is true for ellipsoidal uncertainty even in the uncorrelated case. All presented hardness results already apply to the evaluation of the leader's objective function.
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