Global Optimization Method for Solving Mathematical Programs with Linear Complementarity Constraints

N. V. Thoai, Y. Yamamoto and A. Yoshise
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N. V. Thoai: University of Trier
Y. Yamamoto: University of Trier
A. Yoshise: University of Trier

Journal of Optimization Theory and Applications, 2005, vol. 124, issue 2, No 11, 467-490

Abstract: Abstract We propose a method for finding a global optimal solution of programs with linear complementarity constraints. This problem arises for instance in bilevel programming. The main idea of the method is to generate a sequence of points either ending at a global optimal solution within a finite number of iterations or converging to a global optimal solution. The construction of such sequence is based on branch-and-bound techniques, which have been used successfully in global optimization. Results on a numerical test of the algorithm are reported.

Keywords: Programs with linear complementarity constraints; equilibrium constraints; bilevel programming; global optimization (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10957-004-0946-9

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