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Consider I've written a program and released it under the GNU GPL version 2. Now I want to release it under the GNU GPL version 3. Let's call this "upgrading the license". Is this possible? How do I do it?
Edit:
The reason for changing the license would be that I want to get the additional protection offered by the GNU GPL version 3. I do not want to license future work under the GNU GPL version 2.
If it is your program (and not a derivative of somebody else's program, or something that a lot of other people has contributed to), you have the full right to do whatever you like. So just create a new distribution and state that this distro is under "GNU GPL version 3", replace LICENSE.txt and edit any copyright notices to refer to the correct license - and you're done. Doing so will give you the "additional protection" you believe is offered under the newer version of GPL. Also doing so will not license any future work you do on the program under the GNU GPL version 2.
Of course, the old version will still exist and be licensed under GNU GPL version 2. There is nothing you can do to stop that from being distributed.
Note that doing this will create a fork of your program. GNU GPL version 2 and version 3 are mutually exclusive – so doing this will create all sorts of problems for downstream recipients, and probably confuse a lot of developers unaware of all the pesky intricacies of FLOSS licensing.
So it is IMHO not a good idea to change from one license into another, incompatible license in the middle of a program's life cycle. But if you want to do this, there is nothing to stop you from doing so,
The other answers are good but don't acknowledge another consideration that bears mentioning:
You state in your question you've written a program, but if you've ever assimilated contributions from other people into your program, relicensing becomes more tricky.
Broadly, you may not have the licence to license their work under another licence.
If you had your contributors sign a valid Contributor License Agreement, you are free to relicense as this grants you the ability to re-license the submitted code.
Another important consideration is whether you have accepted any contributions from other people into your project.
If anyone has submitted a pull request, and you have pulled in their changes (either to fix bugs, or add enhancements) but didn't get them to sign a Contributor Licence Agreement, then they hold copyright on part of your code, and you will need to get their agreement before re-licensing your project (or you will need to remove their contribution).
More than one open source project has fallen apart because the current guardians have been unable to contact some of the contributors and have thus been unable to secure the agreement of all copyright holders for an essential change.
If only you have ever contributed to the project, then you hold the copyright on the entire project and can fork it or multi-license as you wish.
