Approximation Methods for Bilevel Programming

Saeed Ghadimi; Mengdi Wang

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arXiv · 1802.02246

Approximation Methods for Bilevel Programming

Saeed Ghadimi·Mengdi Wang

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Abstract

In this paper, we study a class of bilevel programming problem where the inner objective function is strongly convex. More specifically, under some mile assumptions on the partial derivatives of both inner and outer objective functions, we present an approximation algorithm for solving this class of problem and provide its finite-time convergence analysis under different convexity assumption on the outer objective function. We also present an accelerated variant of this method which improves the rate of convergence under convexity assumption. Furthermore, we generalize our results under stochastic setting where only noisy information of both objective functions is available. To the best of our knowledge, this is the first time that such (stochastic) approximation algorithms with established iteration complexity (sample complexity) are provided for bilevel programming.

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BibTeX RIS

Saeed Ghadimi, Mengdi Wang. 2018-02-06. Approximation Methods for Bilevel Programming. https://arxiv.org/abs/1802.02246

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