A penalty function method based on bilevel programming for solving inverse optimal value problems

Abstract: In this work, we reformulate the inverse optimal value problem equivalently as a corresponding nonlinear bilevel programming (BLP) problem. For the nonlinear BLP problem, the duality gap of the lower level problem is appended to the upper level objective with a penalty, and then a penalized problem is obtained. On the basis of the concept of partial calmness, we prove that the penalty function is exact. Then, an algorithm is proposed and an inverse optimal value problem is resolved to illustrate the algorithm. [Copyright &y& Elsevier]