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An implementable active-set algorithm for computing a B-stationary point of a mathematical program with linear complementarity constraints. (English) Zbl 1005.65064
Authors’ abstract: We consider a mathematical program with a smooth objective function and linear inequality/complementarity constraints. We propose an \(\varepsilon\)-active set algorithm which, under a uniform LICQ on the \(\varepsilon\)-feasible set, generates iterates whose cluster points are B-stationary points of the problem. If the objective function is quadratic and \(\varepsilon\) is set to zero, the algorithm terminates finitely. Some numerical experience with the algorithm is reported.

MSC:
65K05 Numerical mathematical programming methods
90C30 Nonlinear programming
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
90C20 Quadratic programming
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