Proximity-based approximation algorithms for integer bilevel programs

Abstract: We primarily consider bilevel programs where the lower level is a convex quadratic minimization problem under integer constraints. We show that it is $\Sigma_2^p$-hard to decide if the optimal objective for the leader is lesser than a given value. Following that, we consider a natural algorithm for bilevel programs that is used as a heuristic in practice. Using a result on proximity in convex quadratic minimization, we show that this algorithm provides an additive approximation to the optimal objective value of the leader. The additive constant of approximation depends on the flatness constant corresponding to the dimensionality of the follower's decision space and the condition number of the matrix $Q$ defining the quadratic term in the follower's objective function. We show computational evidence indicating the speed advantage as well as that the solution quality guarantee is much better than the worst-case bounds. We extend these results to the case where the follower solves an integer linear program, with an objective perfectly misaligned with that of the leader. Using integer programming proximity, we show that a similar algorithm, used as a heuristic in the literature, provides additive approximation guarantees.