Merit-function piecewise SQP algorithm for mathematical programs with equilibrium constraints (Q2483036): Difference between revisions

The authors propose and analyse a piecewise SQP-method for solving mathematical programs with complementarity constraints (MPEC). The method uses a (partial) exact penalty function as a merit function and is based on the solution of a quadratic subproblem to compute acceptable descent directions in each step. The algorithm is (globally) convergent to a piecewise stationary point. Under common assumptions a convergence to a strongly stationary point is shown if a partial MPEC-LICQ condition holds at the limit point.