Complementarity Active-Set Algorithm for Mathematical Programming Problems with Equilibrium Constraints

被引:0
作者
J. J. Júdice
H. D. Sherali
I. M. Ribeiro
A. M. Faustino
机构
[1] Universidade de Coimbra,Departamento de Matemática
[2] Instituto de Telecomunicações,Grado Department of Industrial & Systems Engineering
[3] Virginia Polytechnic Institute,Secção de Matemática do Departamento de Engenharia Civil, Faculdade de Engenharia
[4] Virginia State University,undefined
[5] Universidade do Porto,undefined
来源
Journal of Optimization Theory and Applications | 2007年 / 134卷
关键词
Local optimization; Complementarity; Mathematical programming problem with equilibrium constraints; Active-set algorithm;
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摘要
In this paper, an algorithm for solving a mathematical programming problem with complementarity (or equilibrium) constraints (MPEC) is introduced, which uses the active-set methodology while maintaining the complementarity restrictions throughout the procedure. Finite convergence of the algorithm to a strongly stationary point of the MPEC is established under reasonable hypotheses. The algorithm can be easily implemented by adopting any active-set code for nonlinear programming. Computational experience is included to highlight the efficacy of the proposed method in practice.
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页码:467 / 481
页数:14
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