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Exploiting the Polyhedral Geometry of Stochastic Linear Bilevel Programming

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Integer Programming and Combinatorial Optimization (IPCO 2023)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 13904))

Abstract

We study linear bilevel programming problems whose lower-level objective is given by a random cost vector with known distribution. We consider the case where this distribution is nonatomic, allowing to pose the problem of the leader using vertex-supported beliefs in the sense of [29]. We prove that, under suitable assumptions, this formulation turns out to be piecewise affine over the so-called chamber complex of the feasible set of the high point relaxation. We propose two algorithmic approaches to solve general problems enjoying this last property. The first one is based on enumerating the vertices of the chamber complex. The second one is a Monte-Carlo approximation scheme based on the fact that randomly drawn points of the domain lie, with probability 1, in the interior of full-dimensional chambers, where the problem (restricted to this chamber) can be reduced to a linear program.

The first author was supported by FONDECYT Iniciación 11190515 (ANID-Chile). The second author was supported by the Center of Mathematical Modeling (CMM) FB210005 BASAL funds for centers of excellence (ANID-Chile), and the grant FONDECYT Iniciación 11220586 (ANID-Chile). The third author was supported by the grant FONDECYT postdoctorado 3210735 (ANID-Chile).

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Notes

  1. 1.

    The last two entries of Table 1 correspond to cases where \(\mathscr {F}_{\le {n_x}}\) was not fully computed due to the time limit.

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Muñoz, G., Salas, D., Svensson, A. (2023). Exploiting the Polyhedral Geometry of Stochastic Linear Bilevel Programming. In: Del Pia, A., Kaibel, V. (eds) Integer Programming and Combinatorial Optimization. IPCO 2023. Lecture Notes in Computer Science, vol 13904. Springer, Cham. https://doi.org/10.1007/978-3-031-32726-1_26

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