Local convergence of SQP methods for Mathematical Programs with Equilibrium Constraints

  • Roger Fletcher
  • Sven Leyffer
  • Daniel Ralph
  • Stefan Scholtes
    • Categories Complementarity and Variational Inequalities, Constrained Nonlinear Optimization Tags , , , , Short URL: https://optimization-online.org/?p=9231

    Recently, it has been shown that Nonlinear Programming solvers can successfully solve a range of Mathematical Programs with Equilibrium Constraints (MPECs). In particular, Sequential Quadratic Programming (SQP) methods have been very successful. This paper examines the local convergence properties of SQP methods applied to MPECs. It is shown that SQP converges superlinearly under reasonable assumptions near a strongly stationary point. A number of illustrative examples are presented which show that some of the assumptions are difficult to relax.

    Citation

    Numerical Analysis Report NA/209, Department of Mathematics, University of Dundee, May 2002.

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