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EXACT METHODS FOR DISCRETE Γ-ROBUST INTERDICTION PROBLEMS WITH AN APPLICATION TO THE BILEVEL KNAPSACK PROBLEM

[ARTICLE] This paper develops a generic branch-and-cut framework and problem-tailored cuts for discrete bilevel min-max problems with uncertain parameters in the lower-level problem.

by Ivana Ljubic (ESSEC Business School), Yasmine Beck, Martin Schmidt

Developing solution methods for discrete bilevel problems is known to be a challenging task—even if all parameters of the problem are exactly known. Many real-world applications of bilevel optimization, however, involve data uncertainty. We study discrete min-max problems with a follower who faces uncertainties regarding the parameters of the lower-level problem. Adopting a Γ-robust approach, we present an extended formulation and a multi-follower formulation to model this type of problem. For both settings, we provide a generic branch-and-cut framework. Specifically, we investigate interdiction problems with a monotone Γ-robust follower and we derive problem-tailored cuts, which extend existing techniques that have been proposed for the deterministic case. For the Γ-robust knapsack interdiction problem, we computationally evaluate and compare the performance of the proposed algorithms for both modeling approaches.

[Please read the research paper here]

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