-

 

 

 




Optimization Online





 

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

Arun Sen (asen***at***princeton.edu)
David Shanno (shanno***at***rutcor.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

Download: [PDF]

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

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society