A growing collection of bilevel problems
Linear-Linear problem from [Bard & Falk, 1982]:
Objective values | Solution points |
---|---|
F* = -26.000 | x* = (0.000, 0.900) |
f* = 3.200 | y* = (0.000, 0.600, 0.400) |
AMPL
formatvar x{1..2} >= 0, <= 10; # Outer variable
var y{1..3} >= 0, <= 10; # Inner variable
var l{1..9} >= 0, <= 10; # KKT Multipliers
minimize outer_obj: -8*x[1] - 4*x[2] + 4*y[1] - 40*y[2] + 4*y[3]; # Outer objective
subject to
# Inner objective:
inner_obj: x[1] + 2*x[2] + y[1] + y[2] + 2*y[3] = 0;
# Inner constraints
inner_con1: -y[1] + y[2] + y[3] - 1 <= 0;
inner_con2: 2*x[1] - y[1] + 2*y[2] - 0.5*y[3] - 1 <= 0;
inner_con3: 2*x[2] + 2*y[1] - y[2] - 0.5*y[3] - 1 <= 0;
# KKT conditions:
stationarity_1: 1 - l[1] - l[2] + 2*l[3] - l[4] + l[5] = 0;
stationarity_2: 1 + l[1] + 2*l[2] - l[3] - l[6] + l[7] = 0;
stationarity_3: 2 + l[1] - 0.5*l[2] - 0.5*l[3] - l[8] + l[9] = 0;
complementarity_1: l[1]*(-y[1] + y[2] + y[3] - 1) = 0;
complementarity_2: l[2]*(2*x[1] - y[1] + 2*y[2] - 0.5*y[3] - 1) = 0;
complementarity_3: l[3]*(2*x[2] + 2*y[1] - y[2] - 0.5*y[3] - 1) = 0;
complementarity_4: l[4]*y[1] = 0;
complementarity_5: l[5]*(y[1] - 10) = 0;
complementarity_6: l[6]*y[2] = 0;
complementarity_7: l[7]*(y[2] - 10) = 0;
complementarity_8: l[8]*y[3] = 0;
complementarity_9: l[9]*(y[3] - 10) = 0;