Abstract
In this paper, a new penalty function approach is proposed for the linear bilevel multiobjective programming problem. Using the optimality conditions of the lower level problem, we transform the linear bilevel multiobjective programming problem into the corresponding linear multiobjective programming problem with complementary constraint. The complementary constraint is appended to the upper level objectives with a penalty. Then, we give via an exact penalty method an existence theorem of Pareto optimal solutions and propose an algorithm for the linear bilevel multiobjective programming problem. Numerical results showing viability of the penalty function approach are presented.
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