INOCS - 2016

Section: Research Program

Solving problems with complex structures

Standard solution methods developed for CS problems solve independent sub-problems associated with each type of variables without explicitly integrating their interactions or integrating them iteratively in a heuristic way. However these subproblems are intrinsically linked and should be addressed jointly. In mathematical optimization a classical approach is to approximate the convex hull of the integer solutions of the model by its linear relaxation. The main solution methods are i) polyhedral solution methods which strengthen this linear relaxation by adding valid inequalities, ii) decomposition solution methods (Dantzig Wolfe, Lagrangian Relaxation, Benders decomposition) which aim to obtain a better approximation and solve it by generating extreme points/rays. Main challenges are i) the analysis of the strength of the cuts and their separations for polyhedral solution methods, ii) the decomposition schemes and iii) the extreme points/rays generations for the decomposition solution methods.

The main difficulty in solving bilevel problems is due to their non convexity and non differentiability. Even linear bilevel programs, where all functions involved are affine, are computationally challenging despite their apparent simplicity . Up to now, much research has been devoted to bilevel problems with linear or convex follower problems. In this case, the problem can be reformulated as a single-level program involving complementarity constraints, exemplifying the dual nature, continuous and combinatorial, of bilevel programs.