A new extreme point algorithm and its application in PSQP algorithms for solving mathematical programs with linear complementarity constraints

Authors
Zhang, JZ Liu, GS
Citation
Jz. Zhang et Gs. Liu, A new extreme point algorithm and its application in PSQP algorithms for solving mathematical programs with linear complementarity constraints, J GLOB OPT, 19(4), 2001, pp. 345-361
Citations number
16
Categorie Soggetti
Engineering Mathematics
Journal title
JOURNAL OF GLOBAL OPTIMIZATION
ISSN journal
09255001 → ACNP
Volume
19
Issue
4
Year of publication
2001
Pages
345 - 361
Database
ISI
SICI code
0925-5001(200104)19:4<345:ANEPAA>2.0.ZU;2-3
Abstract
In this paper, we present a new extreme point algorithm to solve a mathemat ical program with linear complementarity constraints without requiring the upper level objective function of the problem to be concave. Furthermore, w e introduce this extreme point algorithm into piecewise sequential quadrati c programming (PSQP) algorithms. Numerical experiments show that the new al gorithm is efficient in practice.