zbMATH — the first resource for mathematics

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.

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
Full Text: DOI