A Globally Convergent Filter Method for MPECs

TitleA Globally Convergent Filter Method for MPECs
Publication TypeJournal Article
Year of Publication2007
AuthorsLeyffer, S, Munson, TS
Date Published09/2007
Other NumbersANL/MCS-P1457-0907
Abstract

<p>We propose a new method for mathematical programs with complementarity constraints that is globally convergent to B-stationary points. The method solves a linear program with complementarity constraints to obtain an estimate of the active set. It then fixes the activities and solves an equality-constrained quadratic program to obtain fast convergence. The method uses a filter to promote global convergence. We establish convergence to B-stationary points.</p>

PDFhttp://www.mcs.anl.gov/papers/P1457.pdf