CRC/TRR 154/2: Optimization for gas market problems (SP B10)

Bilevel optimization is a wide area in mathematical optimization and plays an important role in the TRR 154, where the coupling of producers and consumers represents one prominent application and the robust protection against uncertainties another one. Many of these bilevel problems can be formulated as nonsmooth, piecewise linear optimization problems with constraints. This project aims at the development, analysis and implementation of a structure-exploiting algorithm for bilevel problems of this kind building on the quite recent approach of abs-linearization and the active signature method. This allows also to treat nonsmooth functions in a bilevel optimization.