Local Convergence of SQP Methods for Mathematical Programs with Equilibrium Constraints

Authors:
Roger Fletcher;Sven Leyffer;Danny Ralph;Stefan Scholtes
Affiliations:
-;-;-;-
Venue:
SIAM Journal on Optimization
Year:
2006

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Abstract

Recently, nonlinear programming solvers have been used to solve a range of mathematical programs with equilibrium constraints (MPECs). In particular, sequential quadratic programming (SQP) methods have been very successful. This paper examines the local convergence properties of SQP methods applied to MPECs. SQP is shown to converge superlinearly under reasonable assumptions near a strongly stationary point. A number of examples are presented that show that some of the assumptions are difficult to relax.