An SQP algorithm for mathematical programs with nonlinear complementarity constraints
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In this paper, we describe a successive approximation and smooth sequential quadratic programming (SQP) method for mathematical programs with nonlinear complementarity constraints (MPCC). We introduce a class of smooth programs to approximate the MPCC. Using an l 1 penalty function, the line search assures global convergence, while the superlinear convergence rate is shown under the strictly complementary and second-order sufficient conditions. Moreover, we prove that the current iterated point is an exact stationary point of the mathematical programs with equilibrium constraints (MPEC) when the algorithm terminates finitely.
Key wordsmathematical programs with equilibrium constraints (MPEC) SQP algorithm successive approximation global convergence superlinear convergence rate
Chinese Library ClassificationO221
2000 Mathematics Subject Classification90C30 65K05
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