A New Relaxation Scheme for Mathematical Programs with Equilibrium Constraints
Abstract: We present a new relaxation scheme for mathematical programs with equilibrium constraints (MPEC), where the complementarity constraints are replaced by a reformulation that is exact for the complementarity conditions corresponding to sufficiently non-degenerate complementarity components and relaxes only the remaining complementarity conditions. A positive parameter determines to what extent the complementarity conditions are relaxed. The relaxation scheme is such that a strongly stationary solution of the MPEC is also a solution of the relaxed problem if the relaxation parameter is chosen sufficiently small. We discuss the properties of the resulting parameterized nonlinear programs and compare stationary points and solutions. We further prove that a limit point of a sequence of stationary points of a sequence of relaxed problems is C-stationary if it satisfies a so-called MPEC-constant rank constraint qualification and it is M-stationary if it satisfies the MPEC-linear independence constraint qualification and the stationary points satisfy a second order sufficient condition. From this relaxation scheme, a numerical approach is derived that is applied to a comprehensive testset. The numerical results show that the approach combines good efficiency with high robustness.
Keywords: mathematical program with equilibrium constraints, relaxation technique, global convergence, constraint qualifications
Category 1: Complementarity and Variational Inequalities
Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )
Citation: Preprint, Fakultaet fuer Mathematik, TU Muenchen, February 2009.
Entry Submitted: 02/06/2009
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