Extension of quasi-Newton methods to mathematical programs with complementarity constraints

被引：25

作者：

Jiang, HY

Ralph, D

机构：

[1] CSIRO Math & Informat Sci, Canberra, ACT 2601, Australia

[2] Univ Cambridge, Judge Inst Management, Cambridge CB2 1AG, England

来源：

COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 2003年 / 25卷 / 1-3期

基金：

澳大利亚研究理事会;

关键词：

mathematical programs with equilibrium constraints; MPEC; MPCC; complementarity problem; complementarity constraints; piecewise sequential quadratic programming; quasi-Newton method; superlinear convergence;

D O I：

10.1023/A:1022945316191

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Quasi-Newton methods in conjunction with the piecewise sequential quadratic programming are investigated for solving mathematical programming with equilibrium constraints, in particular for problems with complementarity constraints. Local convergence as well as superlinear convergence of these quasi-Newton methods can be established under suitable assumptions. In particular, several well-known quasi-Newton methods such as BFGS and DFP are proved to exhibit the local and superlinear convergence.

引用

页码：123 / 150

页数：28

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