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An interior point method for mathematical programs with complementarity constraints (MPCCs) (2003)
| Venue: | SIAM JOURNAL ON OPTIMIZATION |
| Citations: | 24 - 1 self |
BibTeX
@ARTICLE{Raghunathan03aninterior,
author = {Arvind U. Raghunathan and Lorenz T. Biegler},
title = {An interior point method for mathematical programs with complementarity constraints (MPCCs)},
journal = {SIAM JOURNAL ON OPTIMIZATION},
year = {2003},
pages = {2005}
}
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Abstract
Interior point methods for nonlinear programs (NLP) are adapted for solution of mathematical programs with complementarity constraints (MPCCs). The constraints of the MPCC are suitably relaxed so as to guarantee a strictly feasible interior for the inequality constraints. The standard primal-dual algorithm has been adapted with a modified step calculation. The algorithm is shown to be superlinearly convergent in the neighborhood of the solution set under assumptions of MPCC-LICQ, strong stationarity and upper level strict complementarity. The modification can be easily accommodated within most nonlinear programming interior point algorithms with identical local behavior. Numerical experience is also presented and holds promise for the proposed method.
Keyphrases
complementarity constraint mathematical program interior point method identical local behavior strong stationarity nonlinear programming interior point algorithm am subject classification feasible interior barrier method key word inequality constraint numerical experience upper level strict complementarity standard primal-dual algorithm superlinearly convergent modified step calculation nonlinear program
