Convergence Analysis of an Interior-Point Method for Mathematical Programs with Equilibrium Constraints

Arun Sen (asenprinceton.edu)
David Shanno (shannorutcor.rutgers.edu)

Abstract: We prove local and global convergence results for an interior-point method applied to mathematical programs with equilibrium constraints. The global result shows the algorithm minimizes infeasibility regardless of starting point, while one result proves local convergence when penalty functions are exact; another local result proves convergence when the solution is not even a KKT point.

Keywords: MPEC, interior-point methods, complementarity, equilibrium

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Category 2: Complementarity and Variational Inequalities

Citation: working paper, dept. of ORFE, Princeton University, December 2004

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Entry Submitted: 12/13/2004
Entry Accepted: 12/13/2004
Entry Last Modified: 12/13/2004

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