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Complementarity Active-Set Algorithm for Mathematical Programming Problems with Equilibrium Constraints |
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| Authors: | J J Júdice H D Sherali I M Ribeiro A M Faustino |
| Institution: | 1.Departamento de Matemática,Universidade de Coimbra,Coimbra,Portugal;2.Instituto de Telecomunica??es,Lisboa,Portugal;3.Grado Department of Industrial & Systems Engineering,Virginia Polytechnic Institute,Blacksburg,USA;4.Virginia State University,Blacksburg,USA;5.Sec??o de Matemática do Departamento de Engenharia Civil, Faculdade de Engenharia,Universidade do Porto,Porto,Portugal |
| 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. |
| Keywords: | Local optimization Complementarity Mathematical programming problem with equilibrium constraints Active-set algorithm |
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