Optimal strategies for bilevel dynamic problems

Date

2009-09-02T18:34:08Z

Authors

Ye, Jane J.

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Abstract

In this paper we study the bilevel dynamic problem, which is a heierarchy [sic] of two dynamic optimization problems where the constraint region of the upper level problem is determined implicitly by the solution to the lower level optimal control problem. To obtain optimality conditions, we reformulate the bilevel dynamic problem as a single level optimal control problem which involves the value function of the lower level problem. Sensitivity analysis of the lower level problem with respect to the perturbation in the upper level decision variable is given and first order necessary optimality conditions are derived by using nonsmooth analysis.

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Keywords

necessary conditions, bilevel optimal control problems, sensitivity analysis, nonsmooth analysis, value function

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