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Mathematical Programming

, Volume 169, Issue 1, pp 221–254 | Cite as

A study of the difference-of-convex approach for solving linear programs with complementarity constraints

  • Francisco Jara-Moroni
  • Jong-Shi Pang
  • Andreas Wächter
Full Length Paper Series B

Abstract

This paper studies the difference-of-convex (DC) penalty formulations and the associated difference-of-convex algorithm (DCA) for computing stationary solutions of linear programs with complementarity constraints (LPCCs). We focus on three such formulations and establish connections between their stationary solutions and those of the LPCC. Improvements of the DCA are proposed to remedy some drawbacks in a straightforward adaptation of the DCA to these formulations. Extensive numerical results, including comparisons with an existing nonlinear programming solver and the mixed-integer formulation, are presented to elucidate the effectiveness of the overall DC approach.

Keywords

Difference-of-convex Complementarity constraints Penalty functions Bilevel programming 

Mathematics Subject Classification

90C05 Linear programming 90C30 Nonlinear programming 90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) 

Notes

Acknowledgements

We thank a referee for very helpful comments that have improved the presentation of the paper.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society 2017

Authors and Affiliations

  1. 1.Department of Industrial Engineering and Management SciencesNorthwestern UniversityEvanstonUSA
  2. 2.Department of Industrial and Systems EngineeringUniversity of Southern CaliforniaLos AngelesUSA

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