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A DC (Difference of Convex functions) approach of the MPECs

Matthieu Maréchal(mmarechal***at***dim.uchile.cl)
Rafael Correa(rcorrea***at***dim.uchile.cl)

Abstract: This article deals with a study of the MPEC problem based on a reformulation to a DC problem (Difference of Convex functions). This reformulation is obtained by a partial penalization of the constraints. In this article we prove that a classical optimality condition for a DC program, if a constraint qualification is satisfied for MPEC, it is a necessary and sufficient condition for a feasible point of an MPEC to be a strongly stationary point. Moreover we have proposed an algorithm to solve the MPEC problem based on the DC reformulation, and have studied the stationarity properties of the limit of the sequences generated by this algorithm.

Keywords: Nonlinear optimization, Optimality conditions, difference convex functions

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation:

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Entry Submitted: 05/02/2014
Entry Accepted: 05/02/2014
Entry Last Modified: 05/02/2014

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