An SQP method for mathematical programs with complementarity constraints with strong convergence properties

Matus Benko; Helmut Gfrerer

Kybernetika (2016)

  • Volume: 52, Issue: 2, page 169-208
  • ISSN: 0023-5954

Abstract

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We propose an SQP algorithm for mathematical programs with complementarity constraints which solves at each iteration a quadratic program with linear complementarity constraints. We demonstrate how strongly M-stationary solutions of this quadratic program can be obtained by an active set method without using enumeration techniques. We show that all limit points of the sequence of iterates generated by our SQP method are at least M-stationary.

How to cite

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Benko, Matus, and Gfrerer, Helmut. "An SQP method for mathematical programs with complementarity constraints with strong convergence properties." Kybernetika 52.2 (2016): 169-208. <http://eudml.org/doc/281549>.

@article{Benko2016,
abstract = {We propose an SQP algorithm for mathematical programs with complementarity constraints which solves at each iteration a quadratic program with linear complementarity constraints. We demonstrate how strongly M-stationary solutions of this quadratic program can be obtained by an active set method without using enumeration techniques. We show that all limit points of the sequence of iterates generated by our SQP method are at least M-stationary.},
author = {Benko, Matus, Gfrerer, Helmut},
journal = {Kybernetika},
keywords = {SQP method; active set method; mathematical program with complementarity constraints; strong M-stationarity; SQP method; active set method; mathematical program with complementarity constraints; strong M-stationarity},
language = {eng},
number = {2},
pages = {169-208},
publisher = {Institute of Information Theory and Automation AS CR},
title = {An SQP method for mathematical programs with complementarity constraints with strong convergence properties},
url = {http://eudml.org/doc/281549},
volume = {52},
year = {2016},
}

TY - JOUR
AU - Benko, Matus
AU - Gfrerer, Helmut
TI - An SQP method for mathematical programs with complementarity constraints with strong convergence properties
JO - Kybernetika
PY - 2016
PB - Institute of Information Theory and Automation AS CR
VL - 52
IS - 2
SP - 169
EP - 208
AB - We propose an SQP algorithm for mathematical programs with complementarity constraints which solves at each iteration a quadratic program with linear complementarity constraints. We demonstrate how strongly M-stationary solutions of this quadratic program can be obtained by an active set method without using enumeration techniques. We show that all limit points of the sequence of iterates generated by our SQP method are at least M-stationary.
LA - eng
KW - SQP method; active set method; mathematical program with complementarity constraints; strong M-stationarity; SQP method; active set method; mathematical program with complementarity constraints; strong M-stationarity
UR - http://eudml.org/doc/281549
ER -

References

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