A penalty method for solving the MPCC problem

The main goal of this work is to solve Mathematical Program with Complementarity Constraints (MPCC) using the penalty technique from the nonlinear optimization. The hyperbolic penalty method is used to solve the nonlinear reformulation of the MPCC in which the complementarity constraints are gathere...

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Bibliographic Details
Main Author: Melo, Teófilo M. M. (author)
Other Authors: Matias, João L. H. (author), Monteiro, M. Teresa T. (author)
Format: article
Language:eng
Published: 2016
Subjects:
MPCC
Penalty method
NLP
Ciências Naturais::Matemáticas
Ciências Naturais::Ciências da Computação e da Informação
Science & Technology
Online Access:http://hdl.handle.net/1822/54507
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/54507
Description
Summary:The main goal of this work is to solve Mathematical Program with Complementarity Constraints (MPCC) using the penalty technique from the nonlinear optimization. The hyperbolic penalty method is used to solve the nonlinear reformulation of the MPCC in which the complementarity constraints are gathered into a single constraint and included in the penalty function. Three algorithms were implemented in MATLAB language using the penalty technique, two of them use the hyperbolic penalty method in two different approaches and the other implements the l(1) penalty. Numerical experiments are performed using a set of AMPL test problems from the MacMPEC database. A performance comparative analysis with respect to some metrics is carried out.

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