An Implementable Active-Set Algorithm for Computing a B-Stationary Point of a Mathematical Program with Linear Complementarity Constraints

Authors:
Masao Fukushima;Paul Tseng
Affiliations:
-;-
Venue:
SIAM Journal on Optimization
Year:
2002

Citing 0
Cited 9

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Abstract

We consider a mathematical program with a smooth objective function and linear inequality/complementarity constraints. We propose an $\epsilon$-active set algorithm which, under a uniform LICQ on the $\epsilon$-feasible set, generates iterates whose cluster points are B-stationary points of the problem. If the objective function is quadratic and $\epsilon$ is set to zero, the algorithm terminates finitely. Some numerical experience with the algorithm is reported.