Abstract
Abstract We propose an efficient algorithm for solving mixed integer bilevel linear programs (MIBLPs). The MIBLPs addressed in this work involve continuous and integer variables in both upper- and lower-level programs. In addition, the upper-level constraints are allowed to be dependent on the lower-level solutions. We first reformulate the original MIBLP into an equivalent single-level optimization problem. The issue of relatively complete response is tackled using the disjunctive programming approach. Based on this single-level reformulation, a decomposition algorithm is developed that converges to the global optimal solution in finite iterations. The master problem provides a valid lower bound, while two subproblems are used to provide a valid upper bound or to test the feasibility. A KKT-condition-based cut is generated according to the solutions to the subproblems and added to the master problem at the end of each iteration, so that non-decreasing lower bounds can be obtained successively. An implementation of the algorithm is described and illustrative examples are presented.
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