Sequential linearization method for bound-constrained mathematical programs with complementarity constraints
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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.
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Cited in
(7)- An implementable active-set algorithm for computing a B-stationary point of a mathematical program with linear complementarity constraints
- Finite elements with switch detection for direct optimal control of nonsmooth systems
- Subspace accelerated matrix splitting algorithms for asymmetric and symmetric linear complementarity problems
- LCQPow: a solver for linear complementarity quadratic programs
- Convergence of trust-region algorithms in metric spaces
- Solving mathematical programs with complementarity constraints arising in nonsmooth optimal control
- Pathfollowing for parametric mathematical programs with complementarity constraints
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