Abstract Bilinear terms naturally appear in many optimization problems. Their inherent non-convexity typically makes them challenging to solve. One approach to tackle this difficulty is to use bivariate piecewise linear approximations for each variable product, which can be represented via mixed-integer linear programming (MIP) formulations. Alternatively, one can reformulate the variable products as a sum of univariate functions. Each univariate function can again be approximated by a piecewise linear function and modelled via an MIP formulation. In the literature, heterogeneous results are reported concerning which approach works better in practice, but little theoretical analysis is provided. We fill this gap by structurally comparing bivariate and univariate approximations with respect to two criteria. First, we compare the number of simplices sufficient for an $$ \varepsilon $$ ε -approximation. We derive upper bounds for univariate approximations and compare them to a lower bound for bivariate approximations. We prove that for a small prescribed approximation error $$ \varepsilon $$ ε , univariate $$ \varepsilon $$ ε -approximations require fewer simplices than bivariate $$ \varepsilon $$ ε -approximations. The second criterion is the tightness of the continuous relaxations (CR) of corresponding sharp MIP formulations. Here, we prove that the CR of a bivariate MIP formulation describes the convex hull of a variable product, the so-called McCormick relaxation. In contrast, we show by a volume argument that the CRs corresponding to univariate approximations are strictly looser. This allows us to explain many of the computational effects observed in the literature and to give theoretical evidence on when to use which kind of approximation.

Abstract The minimum sum-of-squares clustering problem is a very important problem in data mining and machine learning with very many applications in, e.g., medicine or social sciences. However, it is known to be NP-hard in all relevant cases and to be notoriously hard to be solved to global optimality in practice. In this paper, we develop and test different tailored mixed-integer programming techniques to improve the performance of state-of-the-art MINLP solvers when applied to the problem—among them are cutting planes, propagation techniques, branching rules, or primal heuristics. Our extensive numerical study shows that our techniques significantly improve the performance of the open-source MINLP solver . Consequently, using our novel techniques, we can solve many instances that are not solvable with without our techniques and we obtain much smaller gaps for those instances that can still not be solved to global optimality.

Abstract Bilevel optimization is an increasingly important tool to model hierarchical decision making. However, the ability of modeling such settings makes bilevel problems hard to solve in theory and practice. In this paper, we add on the general difficulty of this class of problems by further incorporating convex black-box constraints in the lower level. For this setup, we develop a cutting-plane algorithm that computes approximate bilevel-feasible points. We apply this method to a bilevel model of the European gas market in which we use a joint chance constraint to model uncertain loads. Since the chance constraint is not available in closed form, this fits into the black-box setting studied before. For the applied model, we use further problem-specific insights to derive bounds on the objective value of the bilevel problem. By doing so, we are able to show that we solve the application problem to approximate global optimality. In our numerical case study we are thus able to evaluate the welfare sensitivity in dependence of the achieved safety level of uncertain load coverage.

Bilevel problems are highly challenging optimization problems that appear in many applications of energy market design, critical infrastructure defense, transportation, pricing, and so on. Often these bilevel models are equipped with integer decisions, which makes the problems even harder to solve. Typically, in such a setting in mathematical optimization, one develops primal heuristics in order to obtain feasible points of good quality quickly or to enhance the search process of exact global methods. However, there are comparably few heuristics for bilevel problems. In this paper, we develop such a primal heuristic for bilevel problems with a mixed-integer linear or quadratic upper level and a linear or quadratic lower level. The heuristic is based on a penalty alternating direction method, which allows for a theoretical analysis. We derive a convergence theory stating that the method converges to a stationary point of an equivalent single-level reformulation of the bilevel problem and extensively test the method on a test set of more than 2,800 instances—which is one of the largest computational test sets ever used in bilevel programming. The study illustrates the very good performance of the proposed method in terms of both running times and solution quality. This renders the method a suitable subroutine in global bilevel solvers as well as a reasonable standalone approach.Summary of Contribution: Bilevel optimization problems form a very important class of optimization problems in the field of operations research, which is mainly due to their capability of modeling hierarchical decision processes. However, real-world bilevel problems are usually very hard to solve—especially in the case in which additional mixed-integer aspects are included in the modeling. Hence, the development of fast and reliable primal heuristics for this class of problems is very important. This paper presents such a method.