[SCIP] bilevel programming in SCIP

[Ambros Gleixner]

Dear Enrico,

SCIP by itself does not have any functionality for solving bilevel 
programs out of the box.  However, SCIP can certainly be used to do so, 
probably by writing a constraint handler that enforces optimality of the 
lower level problem.

I know that Marc Pfetsch 
(https://www2.mathematik.tu-darmstadt.de/~pfetsch/), Kai Hoppmann 
(https://www.zib.de/members/hennig), and Jakob Witzig 
(https://www.zib.de/members/witzig, now at SAP) have at some point 
experimented with bilevel in SCIP, maybe you can contact them.

Best,
Ambros


Am 17.03.20 um 12:50 schrieb Enrico Tesio:
> Dear all,
> 
> Thanks everybody for the great contribution that SCIP is.
> 
> I was wondering if bilevel programming is supported in SCIP (and how?).
> 
> I have a LP problem (call it problem A) which I would like to “nest” 
> into a bilevel problem, where the upper problem would contain the 
> Lagrange multipliers associated to some of the constraints in problem A.
> 
> Can anything similar be achieved in the context of SCIP?
> 
> Thanks a lot for any support
> 
> Enrico
> 
> 
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-- 
Ambros Gleixner, Research Group Mathematical Optimization Methods at 
Zuse Institute Berlin, http://www.zib.de/gleixner