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A dynamic reformulation heuristic for Generalized Interdiction Problems
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DOI：10.1016/j.ejor.2017.11.043.png)
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Abstract
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We consider a subfamily of mixed-integer linear bilevel problems that we call Generalized Interdiction Problems. This class of problems includes, among others, the widely-studied interdiction problems, i.e., zero-sum Stackelberg games where two players (called the leader and the follower) share a set of items, and the leader can interdict the usage of certain items by the follower: Problems of this type can be modeled as Mixed-Integer Nonlinear Programming problems, whose exact solution can be very hard. In this paper we propose a new heuristic scheme based on a single-level and compact mixed-integer linear programming reformulation of the problem obtained by relaxing the integrality of the follower variables. A distinguished feature of our method is that general-purpose mixed-integer cutting planes for the follower problem are exploited, on the fly, to dynamically improve the reformulation. The resulting heuristic algorithm proved very effective on a large number of test instances, often providing an (almost) optimal solution within very short computing times. (C) 2017 Elsevier B.V. All rights reserved.
Keywords:
(O) Combinatorial optimization
Bilevel optimization
Interdiction problems
Mixed-integer programming
Heuristics
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