Extension of Quasi-Newton Methods to Mathematical Programs with Complementarity Constraints

Published: 2002/09/02

Complementarity and Variational Inequalities, Constrained Nonlinear Optimization complementarity constraints, complementarity problem, mathematical programs with equilibrium constraints, mpcc, mpec, piecewise sequential quadratic programming, quasi-newton methods, superlinear convergence Short URL: https://optimization-online.org/?p=9272

Quasi-Newton methods in conjunction with the piecewise sequential quadratic programming are investigated for solving mathematical programming with equilibrium constraints, in particular for problems with complementarity constraints. Local convergence as well as superlinear convergence of these quasi-Newton methods can be established under suitable assumptions. In particular, several well-known quasi-Newton methods such as BFGS and DFP are proved to exhibit the local and superlinear convergence.

Citation

Unpublished. Judge Institute of Management, Cambridge University, Trumpington St, Cambridge, CB2 1AG, UK, 2002.

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