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Solving Mathematical Programs with Equil...
Qiu, Songqiang...
Solving Mathematical Programs with Equilibrium Constraints as Nonlinear Programming: A New Framework by Qiu, Songqiang ( Author )
N.A
24-10-2015
We present a new framework for the solution of mathematical programs with equilibrium constraints (MPECs). In this algorithmic framework, an MPECs is viewed as a concentration of an unconstrained optimization which minimizes the complementarity measure and a nonlinear programming with general constraints. A strategy generalizing ideas of Byrd-Omojokun's trust region method is used to compute steps. By penalizing the tangential constraints into the objective function, we circumvent the problem of not satisfying MFCQ. A trust-funnel-like strategy is used to balance the improvements on feasibility and optimality. We show that, under MPEC-MFCQ, if the algorithm does not terminate in finite steps, then at least one accumulation point of the iterates sequence is an S-stationary point.
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Article
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36.88 KB
English
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MYR 0.01
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http://arxiv.org/abs/1510.07145
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