Active set algorithm for mathematical programs with linear complementarity constraints

被引：2

作者：

Yin, Hongxia ^{[1
,2
]}

Ding, Fei ^{[3
]}

Zhang, Jianzhong ^{[4
]}

机构：

[1] Minnesota State Univ Mankato, Dept Math & Stat, Mankato, MN 56001 USA

[2] Chinese Acad Sci, Grad Univ, CAS Res Ctr Fict Econ & Data Sci, Beijing 100080, Peoples R China

[3] GuangDong Dev Bank, Dept Risk Management, Guangzhou 510080, Guangdong, Peoples R China

[4] Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2011年 / 217卷 / 21期

关键词：

Mathematical programs with linear complementarity constraints; Active-set algorithm; B-stationary; Uniform LICQ; Convergence; STATIONARITY CONDITIONS; EXACT PENALIZATION; SQP METHODS; CONVERGENCE; OPTIMALITY;

D O I：

10.1016/j.amc.2011.03.011

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In the paper, an incomplete active set algorithm is given for mathematical programs with linear complementarity constraints (MPLCC). At each iteration, a finite number of inneriterations are contained for approximately solving the relaxed nonlinear optimization problem. If the feasible region of the MPLCC is bounded, under the uniform linear independence constraint qualification (LICQ), any cluster point of the sequence generated from the algorithm is a B-stationary point of the MPLCC. Preliminary numerical tests show that the algorithm is promising. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：8291 / 8302

页数：12

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