A New Extreme Point Algorithm and Its Application in PSQP Algorithms for Solving Mathematical Programs with Linear Complementarity Constraints

Authors:
Jianzhong Zhang;Guoshan Liu
Affiliations:
Department of Mathematics, City University of Hong Kong, Hong Kong, China (Corresponding author, e-mail: mazhang@cityu.edu.hk)/;School of Business Administration, Renmin University of China, Beijing 100872, China
Venue:
Journal of Global Optimization
Year:
2001

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Abstract

In this paper, we present a new extreme point algorithm to solve a mathematical program with linear complementarity constraints without requiring the upper level objective function of the problem to be concave. Furthermore, we introduce this extreme point algorithm into piecewise sequential quadratic programming (PSQP) algorithms. Numerical experiments show that the new algorithm is efficient in practice.