Generalized Stationary Points and an Interior Point Method for MPEC
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HPCES012.pdf
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179.13 KB
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62bf8fadc25de81bd91da4b59dbced4c
Author(s)
Liu, Xinwei
Sun, Jie
Date Issued
January 2003
Series/Report no.
High Performance Computation for Engineered Systems (HPCES);
Abstract
Mathematical program with equilibrium constraints (MPEC)has extensive applications in practical areas such as traffic control, engineering design, and economic modeling. Some generalized stationary points of MPEC are studied to better describe the limiting points produced by interior point methods for MPEC.A primal-dual interior point method is then proposed, which solves a sequence of relaxed barrier problems derived from MPEC. Global convergence results are deduced without assuming strict complementarity or linear independence constraint qualification. Under very general assumptions, the algorithm can always find some point with strong or weak stationarity. In particular, it is shown that every limiting point of the generated sequence is a piece-wise stationary point of MPEC if the penalty parameter of the merit function is bounded. Otherwise, a certain point with weak stationarity can be obtained. Preliminary numerical results are satisfactory, which include a case analyzed by Leyffer for which the penalty interior point algorithm failed to find a stationary solution.
Subjects
equilibrium constraints
global convergence
interior point methods
strict complementarity
variational inequality problems
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