A Lagrange Relaxation Based Approach to Solve a Discrete-Continous Bi-Level Model

Abstract

In this work we propose a solution method based on Lagrange relaxation for discrete-continuous bi-level problems, with binary variables in the leading problem, considering the optimistic approach in bi-level programming. For the application of the method, the two-level problem is reformulated using the Karush-Kuhn-Tucker conditions. The resulting model is linearized taking advantage of the structure of the leading problem. Using a Lagrange relaxation algorithm, it is possible to find a global solution efficiently. The algorithm was tested to show how it performs.