Complementarity active-set algorithm for mathematical programming problems with equilibrium constraints
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...
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| Other Authors: | , , |
| Format: | article |
| Language: | eng |
| Published: |
2007
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| Subjects: | |
| Online Access: | https://repositorio-aberto.up.pt/handle/10216/92221 |
| Country: | Portugal |
| Oai: | oai:repositorio-aberto.up.pt:10216/92221 |
| Summary: | 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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