Accelerating Bilevel Optimization with Hierarchical Many-threaded Parallel Differential Evolution

Bilevel optimization is encountered in many relevant real-world applications. The main feature of this type of problem is that an upper-level optimization problem is constrained by a nested lower-level optimization problem. Because of this nested structure, bilevel problems are usually computationally expensive to solve. Differential Evolution has demonstrated promising results in solving bilevel problems of relatively small scales. As the problem scale increases, the decision space becomes intrinsically larger, requiring a growing number of function evaluations for the method to work properly. In this context, heavy parallelization and high-performance computing techniques are indispensable to enable the resolution of more complex and challenging optimization problems. Hence, we propose a hierarchical many-threaded parallel Differential Evolution approach for bilevel problems, where both levels are parallelized. The computational experiments demonstrate that the parallel implementation achieved runtime speeds ranging from 44 to 2559 times faster than the sequential version on a well-known scalable SMD benchmark test problem when executed on an NVIDIA A100 GPU. The findings indicate that the algorithm’s convergence is strongly influenced by the number of both upper-and lower-level generations. Moreover, the success of experiments with large-scale problems is closely linked to the choice of small population sizes.