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A sensitivity-based extrapolation technique for the numerical solution of state-constrained optimal control problems

Michael Hintermüller, Irwin Yousept (2010)

ESAIM: Control, Optimisation and Calculus of Variations

Sensitivity analysis (with respect to the regularization parameter) of the solution of a class of regularized state constrained optimal control problems is performed. The theoretical results are then used to establish an extrapolation-based numerical scheme for solving the regularized problem for vanishing regularization parameter. In this context, the extrapolation technique provides excellent initializations along the sequence of reducing regularization parameters. Finally, the favorable numerical behavior...

A smoothing Levenberg-Marquardt method for the complementarity problem over symmetric cone

Xiangjing Liu, Sanyang Liu (2022)

Applications of Mathematics

In this paper, we propose a smoothing Levenberg-Marquardt method for the symmetric cone complementarity problem. Based on a smoothing function, we turn this problem into a system of nonlinear equations and then solve the equations by the method proposed. Under the condition of Lipschitz continuity of the Jacobian matrix and local error bound, the new method is proved to be globally convergent and locally superlinearly/quadratically convergent. Numerical experiments are also employed to show that...

A smoothing Newton method for the second-order cone complementarity problem

Jingyong Tang, Guoping He, Li Dong, Liang Fang, Jinchuan Zhou (2013)

Applications of Mathematics

In this paper we introduce a new smoothing function and show that it is coercive under suitable assumptions. Based on this new function, we propose a smoothing Newton method for solving the second-order cone complementarity problem (SOCCP). The proposed algorithm solves only one linear system of equations and performs only one line search at each iteration. It is shown that any accumulation point of the iteration sequence generated by the proposed algorithm is a solution to the SOCCP. Furthermore,...

A smoothing SAA method for a stochastic mathematical program with complementarity constraints

Jie Zhang, Li-wei Zhang, Yue Wu (2012)

Applications of Mathematics

A smoothing sample average approximation (SAA) method based on the log-exponential function is proposed for solving a stochastic mathematical program with complementarity constraints (SMPCC) considered by Birbil et al. (S. I. Birbil, G. Gürkan, O. Listes: Solving stochastic mathematical programs with complementarity constraints using simulation, Math. Oper. Res. 31 (2006), 739–760). It is demonstrated that, under suitable conditions, the optimal solution of the smoothed SAA problem converges almost...

An existence theorem for extended mildly nonlinear complementarity problem in semi-inner product spaces

M. S. Khan (1995)

Commentationes Mathematicae Universitatis Carolinae

We prove a result for the existence and uniqueness of the solution for a class of mildly nonlinear complementarity problem in a uniformly convex and strongly smooth Banach space equipped with a semi-inner product. We also get an extension of a nonlinear complementarity problem over an infinite dimensional space. Our last results deal with the existence of a solution of mildly nonlinear complementarity problem in a reflexive Banach space.

An instantaneous semi-Lagrangian approach for boundary control of a melting problem

Youness Mezzan, Moulay Hicham Tber (2021)

Applications of Mathematics

In this paper, a sub-optimal boundary control strategy for a free boundary problem is investigated. The model is described by a non-smooth convection-diffusion equation. The control problem is addressed by an instantaneous strategy based on the characteristics method. The resulting time independent control problems are formulated as function space optimization problems with complementarity constraints. At each time step, the existence of an optimal solution is proved and first-order optimality conditions...

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

Matus Benko, Helmut Gfrerer (2016)

Kybernetika

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.

Asymptotic analysis, existence and sensitivity results for a class of multivalued complementarity problems

Fabián Flores-Bazán, Rubén López (2006)

ESAIM: Control, Optimisation and Calculus of Variations

In this work we study the multivalued complementarity problem on the non-negative orthant. This is carried out by describing the asymptotic behavior of the sequence of approximate solutions to its multivalued variational inequality formulation. By introducing new classes of multifunctions we provide several existence (possibly allowing unbounded solution set), stability as well as sensitivity results which extend and generalize most of the existing ones in the literature. We also present some kind...

Augmented Lagrangian methods for variational inequality problems

Alfredo N. Iusem, Mostafa Nasri (2010)

RAIRO - Operations Research

We introduce augmented Lagrangian methods for solving finite dimensional variational inequality problems whose feasible sets are defined by convex inequalities, generalizing the proximal augmented Lagrangian method for constrained optimization. At each iteration, primal variables are updated by solving an unconstrained variational inequality problem, and then dual variables are updated through a closed formula. A full convergence analysis is provided, allowing for inexact solution of the subproblems. ...

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