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Bilevel optimization : ウィキペディア英語版
Bilevel optimization

Bilevel optimization is a special kind of optimization where one problem is embedded (nested) within another. The outer optimization task is commonly referred to as the upper-level optimization task, and the inner optimization task is commonly referred to as the lower-level optimization task. These problems involve two kinds of variables, referred to as the upper-level variables and the lower-level variables.
== Mathematical formulation of the problem ==
A general formulation of bilevel optimization problem can be written as follows:
\min\limits_\;\; F(x,y)
subject to:
G_i(x,y) \leq 0, for i \in \;
y \in \arg \min \limits_ \ \}
where
: F,f: R^ \times R^ \to R
: G_i,g_j: R^ \times R^ \to R
: X \subseteq R^
: Y \subseteq R^.
In the above formulation, F represents the upper-level objective function and f represents the lower-level objective function. Similarly x represents the upper-level decision vector and y represents the lower-level decision vector. G_i and g_j represent the inequality constraint functions at the upper and lower levels respectively.
If some objective function is to be maximized, it is equivalent to minimize its negative.
The formulation above is also capable of representing equality constraints, as these can be easily rewritten in terms of inequality constraints: for instance, h(x)=0 can be translated as \.
However, it is usually worthwhile to treat equality constraints separately, to deal with them more efficiently in a dedicated way;
in the representation above, they have been omitted for brevity.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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