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A Globally Convergent Sequential Quadratic Programming Algorithm for Mathematical Programs with Linear Complementarity Constraints
Authors:Masao Fukushima  Zhi-Quan Luo  Jong-Shi Pang
Institution:(1) Department of Applied Mathematics and Physics, Graduate School of Engineering, Kyoto University, Kyoto, 606-01, Japan;(2) Department of Electrical and Computer Engineering, McMaster University, Hamilton, Ont., Canada, L8S 4K1;(3) Department of Mathematical Sciences, Whiting School of Engineering, The Johns Hopkins University, Baltimore, MD, 21218-2682, U.S.A.
Abstract:This paper presents a sequential quadratic programming algorithm for computing a stationary point of a mathematical program with linear complementarity constraints. The algorithm is based on a reformulation of the complementarity condition as a system of semismooth equations by means of Fischer-Burmeister functional, combined with a classical penalty function method for solving constrained optimization problems. Global convergence of the algorithm is established under appropriate assumptions. Some preliminary computational results are reported.
Keywords:mathematical programs with equilibrium constraints  sequential quadratic programming  linear complementarity
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