An interior-point trust-region algorithm to solve a nonlinear bilevel programming problem

Abstract

In this paper, a nonlinear bilevel programming (NBLP) problem is transformed into an equivalent smooth single objective nonlinear programming (SONP) problem utilized slack variable with a Karush-Kuhn-Tucker (KKT) condition. To solve the equivalent smooth SONP problem effectively, an interior-point Newton's method with Das scaling matrix is used. This method is locally method and to guarantee convergence from any starting point, a trust-region strategy is used. The proposed algorithm is proved to be stable and capable of generating approximal optimal solution to the nonlinear bilevel programming problem. A global convergence theory of the proposed algorithm is introduced and applications to mathematical programs with equilibrium constraints are given to clarify the effectiveness of the proposed approach.

Keywords

• nonlinear bilevel programming problem
• newton's method
• das scaling matrix
• trust-region technique
• global convergence