On linear programs with linear complementarity constraints

  • Authors:
  • Jing Hu;John E. Mitchell;Jong-Shi Pang;Bin Yu

  • Affiliations:
  • Market Analytics, Inc., Evanston, USA 60201;Department of Mathematical Sciences, Rensselaer Polytechnic Institute, Troy, USA 12180-1590;Department of Industrial and Enterprise Systems Engineering, University of Illinois, Urbana, USA 61801;Department of Decision Sciences and Engineering Systems, Rensselaer Polytechnic Institute, Troy, USA 12180-1590

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2012

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Abstract

The paper is a manifestation of the fundamental importance of the linear program with linear complementarity constraints (LPCC) in disjunctive and hierarchical programming as well as in some novel paradigms of mathematical programming. In addition to providing a unified framework for bilevel and inverse linear optimization, nonconvex piecewise linear programming, indefinite quadratic programs, quantile minimization, and 驴 0 minimization, the LPCC provides a gateway to a mathematical program with equilibrium constraints, which itself is an important class of constrained optimization problems that has broad applications. We describe several approaches for the global resolution of the LPCC, including a logical Benders approach that can be applied to problems that may be infeasible or unbounded.