| 求解带均衡约束数学规划问题的一个连续化方法 |
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| 引用本文： | 李飞,徐成贤. 求解带均衡约束数学规划问题的一个连续化方法[J]. 计算数学, 2004, 26(1): 3-12 |
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| 作者姓名： | 李飞 徐成贤 |
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| 作者单位： | 北京工商大学经济学院,北京,100037;西安交通大学理学院,西安,710049 |
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| 摘 要： | In this paper, a continuation method for mathematical programs with equilibrium constraints (MPEC) is proposed. By using the KKT conditions for the variational inequality constraints, the MPEC is firstly reformulated as a nonsmooth constrained optimization problem, then we solve a sequence of smooth perturbation problems, which progressively approximate the nonsmooth problem, and study the convergence of the proposed method. Numerical results showing feasibility of the approach are given.
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| 关 键 词： | 变分不等式问题 KKT条件 光滑扰动问题 非光滑问题 收敛性 |
A CONTINUATION METHOD FOR MATHEMATICAL PROGRAMS WITH EQUILIBRIUM CONSTRAINTS |
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| Li Fei. A CONTINUATION METHOD FOR MATHEMATICAL PROGRAMS WITH EQUILIBRIUM CONSTRAINTS[J]. Mathematica Numerica Sinica, 2004, 26(1): 3-12 |
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| Authors: | Li Fei |
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| Affiliation: | Li Fei ( The College of Economics, Beijing Technology and Business University. Beijing, 100037)Xu Chengxian (Faculty of Sciences, Xi'an Jiaotong University, Xi'an, 710049) |
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| Abstract: | In this paper, a continuation method for mathematical programs with equilibrium constraints (MPEC) is proposed. By using the KKT conditions for the vari-ational inequality constraints, the MPEC is firstly reformulated as a nonsmooth constrained optimization problem, then we solve a sequence of smooth perturbation problems, which progressively approximate the nonsmooth problem, and study the convergence of the proposed method. Numerical results showing feasibility of the approach are given. |
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| Keywords: | Variational inequality constraint KKT conditions nonsmooth problem smooth perturbation problem convergence |
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