The relationship between the mathematical program with linear complementarity constraints (MPCC) and its inequality relaxation is studied. A new sequential quadratic programming (SQP) method is presented for solving the MPCC based on this relationship. A certain SQP technique is introduced to deal with the possible infeasibility of quadratic programming subproblems. Global convergence results are derived without assuming the linear independence constraint qualification for MPEC and nondegeneracy of the complementarity constraints. Preliminary numerical results are reported.
Research report, Singapore-MIT Alliance, National University of Singapore, 2003.