First order optimality conditions for mathematical programs with semidefinite cone complementarity constraints |
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Authors: | Chao Ding Defeng Sun Jane J. Ye |
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Affiliation: | 1. National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences, Beijing, People’s Republic of China 2. Department of Mathematics and Risk Management Institute, National University of Singapore, 10 Lower Kent Ridge Road, Singapore, 119076, Republic of Singapore 3. Department of Mathematics and Statistics, University of Victoria, Victoria, BC, V8W 3R4, Canada
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Abstract: | In this paper we consider a mathematical program with semidefinite cone complementarity constraints (SDCMPCC). Such a problem is a matrix analogue of the mathematical program with (vector) complementarity constraints (MPCC) and includes MPCC as a special case. We first derive explicit formulas for the proximal and limiting normal cone of the graph of the normal cone to the positive semidefinite cone. Using these formulas and classical nonsmooth first order necessary optimality conditions we derive explicit expressions for the strong-, Mordukhovich- and Clarke- (S-, M- and C-)stationary conditions. Moreover we give constraint qualifications under which a local solution of SDCMPCC is a S-, M- and C-stationary point. Moreover we show that applying these results to MPCC produces new and weaker necessary optimality conditions. |
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