A Globally Convergent Sequential Quadratic Programming Algorithm for Mathematical Programs with Linear Complementarity Constraints

Authors:
Masao Fukushima;Zhi-Quan Luo;Jong-Shi Pang
Affiliations:
Department of Applied Mathematics and Physics, Graduate School of Engineering, Kyoto University, Kyoto 606-01, Japan. E-mail: fuku@kuamp.kyoto-u.ac.jp;Communications Research Laboratory, Department of Electrical and Computer Engineering, McMaster University, Hamilton, Ont., Canada L8S 4K1. E-mail: luozq@mcmail.cis.mcmaster.ca;Department of Mathematical Sciences, Whiting School of Engineering, The Johns Hopkins University, Baltimore, MD 21218-2682, U.S.A. E-mail: jsp@vicp1.mts.jhu.edu
Venue:
Computational Optimization and Applications
Year:
1998

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Abstract

This paper presents a sequential quadratic programming algorithm forcomputing a stationary point of a mathematical program with linearcomplementarity constraints. The algorithm is based on a reformulation ofthe complementarity condition as a system of semismooth equations by meansof Fischer-Burmeister functional, combined with a classical penalty functionmethod for solving constrained optimization problems. Global convergence ofthe algorithm is established under appropriate assumptions. Some preliminarycomputational results are reported.