A smoothing heuristic for a bilevel pricing problem

In this paper, we provide a heuristic procedure, that performs well from a global optimality point of view, for an important and difficult class of bilevel programs. The algorithm relies on an interior point approach that can be interpreted as a combination of smoothing and implicit programming techniques. Although the algorithm cannot guarantee global optimality, very good solutions can be obtained through the use of a suitable set of parameters. The algorithm has been tested on large-scale instances of a network pricing problem, an application that fits our modeling framework. Preliminary results show that on hard instances, our approach constitutes an alternative to solvers based on mixed 0

• Type: Journal
• Year: 2006
• Where: EOR
• Authors: Jean-Pierre Dussault, Patrice Marcotte, Sébastien Roch, Gilles Savard
• Keywords: EOR 2006, Global Optimality, Global Optimality Point, Interior Point Approach