A new extreme point algorithm and its application in PSQP algorithms for solving mathematical programs with linear complementarity constraints. (English) Zbl 1049.90125

Summary: 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


90C49 Extreme-point and pivoting methods
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
90C55 Methods of successive quadratic programming type
Full Text: DOI