Complementarity Active-Set Algorithm for Mathematical Programming Problems with Equilibrium Constraints

J. J. Júdice (), H. D. Sherali, I. M. Ribeiro () and A. M. Faustino
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J. J. Júdice: Universidade de Coimbra
H. D. Sherali: Virginia Polytechnic Institute
I. M. Ribeiro: Universidade do Porto
A. M. Faustino: Universidade do Porto

Journal of Optimization Theory and Applications, 2007, vol. 134, issue 3, No 7, 467-481

Abstract: Abstract In this paper, an algorithm for solving a mathematical programming problem with complementarity (or equilibrium) constraints (MPEC) is introduced, which uses the active-set methodology while maintaining the complementarity restrictions throughout the procedure. Finite convergence of the algorithm to a strongly stationary point of the MPEC is established under reasonable hypotheses. The algorithm can be easily implemented by adopting any active-set code for nonlinear programming. Computational experience is included to highlight the efficacy of the proposed method in practice.

Keywords: Local optimization; Complementarity; Mathematical programming problem with equilibrium constraints; Active-set algorithm (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-007-9231-z

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