Feasibility problems with complementarity constraints

Autor(es)

Andreani, R. ^[1] ; Judice, J. J. ^[2] ; Martinez, J. M. ^[1] ; Martini, T. ^[1]

Afiliação do(s) autor(es)

^[1] Univ Estadual Campinas, Dept Appl Math, IMECC UNICAMP, BR-13083859 Campinas, SP - Brazil

^[2] Univ Coimbra, Inst Telecomun, Coimbra - Portugal

• Tipo de documento: Artigo Científico
• Fonte: European Journal of Operational Research; v. 249, n. 1, p. 41-54, FEB 16 2016.
• Citações Web of Science: 3

Resumo

A Projected-Gradient Underdetermined Newton-like algorithm will be introduced for finding a solution of a Horizontal Nonlinear Complementarity Problem (HNCP) corresponding to a feasible solution of a Mathematical Programming Problem with Complementarity Constraints (MPCC). The algorithm employs a combination of Interior-Point Newton-like and Projected-Gradient directions with a line-search procedure that guarantees global convergence to a solution of HNCP or, at least, a stationary point of the natural merit function associated to this problem. Fast local convergence will be established under reasonable assumptions. The new algorithm can be applied to the computation of a feasible solution of MPCC with a target objective function value. Computational experience on test problems from well-known sources will illustrate the efficiency of the algorithm to find feasible solutions of MPCC in practice. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved. (AU)

• Processo FAPESP: 06/53768-0 - Métodos computacionais de otimização
• Beneficiário: José Mário Martinez Perez
• Modalidade de apoio: Auxílio à Pesquisa - Temático
• Processo FAPESP: 12/10444-0 - Um novo software integrado para sistemas não lineares
• Beneficiário: Tiara Martini dos Santos
• Modalidade de apoio: Bolsas no Brasil - Doutorado