论文标题
与互补约束的边界约束数学程序的顺序线性化方法
Sequential Linearization Method for Bound-Constrained Mathematical Programs with Complementarity Constraints
论文作者
论文摘要
我们提出了一种算法，用于解决变量上具有互补性约束的界限数学程序。算法的每一次迭代都涉及求解具有互补性约束的线性程序，以便获得活动集的估计。该算法在目标函数上执行下降，以促进全局融合到B平稳点。我们为一系列测试问题提供了收敛分析和初步数值结果。我们还研究了在约束的二次程序中固定主动约束的效果，该程序可以在每次迭代上解决，以获得快速收敛。
We propose an algorithm for solving bound-constrained mathematical programs with complementarity constraints on the variables. Each iteration of the algorithm involves solving a linear program with complementarity constraints in order to obtain an estimate of the active set. The algorithm enforces descent on the objective function to promote global convergence to B-stationary points. We provide a convergence analysis and preliminary numerical results on a range of test problems. We also study the effect of fixing the active constraints in a bound-constrained quadratic program that can be solved on each iteration in order to obtain fast convergence.
