Merit-Function Piecewise SQP Algorithm for Mathematical Programs with Equilibrium Constraints |
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| Authors: | G. S. Liu J. J. Ye |
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| Affiliation: | (1) Department of Mathematics and Statistics, University of Victoria, Victoria, BC, Canada;(2) School of Business, Renmin University, Beijing, China |
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| Abstract: | We propose a merit-function piecewise SQP algorithm for mathematical programs with equilibrium constraints (MPEC) formulated as mathematical programs with complementarity constraints. Under mild conditions, the new algorithm is globally convergent to a piecewise stationary point. Moreover, if the partial MPEC linear independence constraint qualification (LICQ) is satisfied at the accumulation point, then the accumulation point is an S-stationary point. The research of the first author was supported by the National Natural Science Foundation of China under grants 10571177 and 70271014. The research of the second author was partially supported by NSERC. |
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| Keywords: | Mathematical programs with equilibrium constraints Mathematical programs with complementarity constraints Partial MPEC-LICQ Global convergence Piecewise stationary points |
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