Abstract
We propose a penalty formulation based on the new regularization scheme for mathematical programs with complementarity constraints (MPCCs). We present an active set method which solves a sequence of penalty-regularized problems. We study global convergence properties of the method under the MPCC-linear independence constraint qualification. In particular, any accumulation point of the generated iterates is a strong stationary point if the penalty parameter is bounded. Otherwise, the convergence to points having a certain stationarity property is established. A strategy for updating the penalty parameter is proposed and numerical results on a collection of test problems are reported.
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The authors are much grateful to the anonymous referee whose insightful comments led to significant improvements.
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This work was partially supported by NSERC Grant OGP0005491 and OGP0036512.
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Kadrani, A., Dussault, J.P. & Benchakroun, A. A globally convergent algorithm for MPCC. EURO J Comput Optim 3, 263–296 (2015). https://doi.org/10.1007/s13675-015-0044-9
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DOI: https://doi.org/10.1007/s13675-015-0044-9