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SEQUENTIAL LINEARIZATION METHOD FOR BOUND-CONSTRAINED MATHEMATICAL PROGRAMS WITH COMPLEMENTARITY CONSTRAINTS.
- Source :
-
SIAM Journal on Optimization . 2022, Vol. 32 Issue 1, p75-99. 25p. - Publication Year :
- 2022
-
Abstract
- We propose an algorithm for solving bound-constrained mathematical programs with complementarity constraints on the variables. Each iteration of the algorithm involves solving a linear program with complementarity constraints in order to obtain an estimate of the active set. The algorithm enforces descent on the objective function to promote global convergence to B-stationary points. We provide a convergence analysis and preliminary numerical results on a range of test problems. We also study the effect of fixing the active constraints in a bound-constrained quadratic program that can be solved on each iteration in order to obtain fast convergence. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 10526234
- Volume :
- 32
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- SIAM Journal on Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 155794703
- Full Text :
- https://doi.org/10.1137/20M1370501