Complementarity Active-Set Algorithm for Mathematical Programming Problems with Equilibrium Constraints
Abstract 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 alg...
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| Outros Autores: | , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2007
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| Texto completo: | http://hdl.handle.net/10316/7719 |
| País: | Portugal |
| Oai: | oai:estudogeral.sib.uc.pt:10316/7719 |
| Resumo: | Abstract 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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