Estimation of distribution algorithm for a class of nonlinear bilevel programming problems

Abstract

In this paper, a novel evolutionary algorithm called estimation of distribution algorithm (EDA) is proposed for solving a special class of nonlinear bilevel programming problems (BLPPs) in which the lower level problem is a convex programming problem for each given upper level decision. This special type of BLPP is transformed into a equivalent single-level constrained optimization problem using the Karush-Kuhn-er conditions of the lower level problem. Then, we propose an EDA based on the statistical information of the superior candidate solutions to solve the transformed problem. We stress that the new population of individuals is sampled from the probabilistic distribution of those superior solutions. Thus, one of the main advantages of EDA over most other meta-heuristics is its ability to adapt the operators to the structure of the problem, although adaptation in EDA is usually limited by the initial choice of the probabilistic model. In addition, two specific rules are established in the initialization procedure to make use of the hierarchical structure of BLPPs and to handle the constraints. Moreover, without requiring the differentiability of the objective function, or the convexity of the search space of the equivalent problem, the proposed algorithm can address nonlinear BLPPs with non-differentiable or non-convex upper level objective function and upper level constraint functions. Finally, the proposed algorithm has been applied to 16 benchmark problem; in five of these problems, all of the upper level variables and lower level variables are 10-dimensional. The numerical results compared with those of other methods reveal the feasibility and effectiveness of the proposed algorithm.