A penalty function method approach for solving a constrained bilevel optimization problem is proposed. In the algorithm, both the upper level and the lower level problems are approximated by minimization problems of augmented objective functions. A convergence theorem is presented. The method is applicable to the non-singleton lower-level reaction set case. Constraint qualifications which imply the assumptions of the general convergence theorem are given.
ASJC Scopus subject areas
- General Decision Sciences
- Management Science and Operations Research