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Sensitivity analysis based heuristic algorithms for mathematical programs with variational inequality constraints
Authors:Terry L. Friesz  Roger L. Tobin  Hsun-Jung Cho  Nihal J. Mehta
Affiliation:(1) George Mason University, 22030 Fairfax, VA, USA;(2) GTE Laboratories Incorporated, 02254 Waltham, MA, USA;(3) University of Pennsylvania, 19104 Philadelphia, PA, USA
Abstract:In this paper we consider heuristic algorithms for a special case of the generalized bilevel mathematical programming problem in which one of the levels is represented as a variational inequality problem. Such problems arise in network design and economic planning. We obtain derivative information needed to implement these algorithms for such bilevel problems from the theory of sensitivity analysis for variational inequalities. We provide computational results for several numerical examples.
Keywords:Bi-level programming  variational inequalities  sensitivity analysis  nonsmooth optimization  heuristics
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