This paper studies theoretical and practical properties of interior-penalty methods for mathematical programs with complementarity constraints. A framework for implementing these methods is presented, and the need for adaptive penalty update strategies is motivated with examples. The algorithm is shown to be globally convergent to strongly stationary points, under standard assumptions. These results are then … Read more
We prove local and global convergence results for an interior-point method applied to mathematical programs with equilibrium constraints. The global result shows the algorithm minimizes infeasibility regardless of starting point, while one result proves local convergence when penalty functions are exact; another local result proves convergence when the solution is not even a KKT point. … Read more
The second-order cone programming problem is reformulated into several new systems of nonlinear equations. Assume the perturbation of the data is in a certain neighborhood of zero. Then starting from a solution to the old problem, the semismooth Newton’s iterates converge Q-quadratically to a solution of the perturbed problem. The algorithm is globalized. Numerical examples … Read more
We extend the Q method to the symmetric cone programming. An infeasible interior point algorithm and a Newton-type algorithm are given. We give convergence results of the interior point algorithm and prove that the Newton-type algorithm is good for CitationAdvOl-Report#2004/18 McMaster University, Advanced Optimization Laboratory Hamilton, Ontario, Canada October 2004ArticleDownload View PDF
This paper investigates the ability of the largest producer in an electricity market to manipulate both the electricity and emission allowances markets to its advantage. A Stackelberg game to analyze this situation is constructed in which the largest firm plays the role of the leader, while the medium-sized firms are treated as Cournot followers with … Read more
We study the continuous trajectories for solving monotone nonlinear mixed complementarity problems over symmetric cones. While the analysis in Faybusovich (1997) depends on the optimization theory of convex log-barrier functions, our approach is based on the paper of Monteiro and Pang (1998), where a vast set of conclusions concerning continuous trajectories is shown for monotone … Read more
In this paper we discuss here-and-now type stochastic programs with equilibrium constraints. We give a general formulation of such problems and study their basic properties such as measurability and continuity of the corresponding integrand functions. We also discuss consistency and rates of convergence of sample average approximations of such stochastic problems. CitationSchool of Industrial and … Read more
We prove that any accumulation point of an elastic mode approach, applied to the optimization of a mixed P variational inequality, that approximately solves the relaxed subproblems is a C-stationary point of the problem of optimizing a parametric mixed P variational inequality. If, in addition, the accumulation point satis es the MPCC-LICQ constraint quali cation and if … Read more
We investigate the possibility of solving mathematical programs with complementarity constraints (MPCCs) using algorithms and procedures of smooth nonlinear programming. Although MPCCs do not satisfy a constraint qualification, we establish sucient conditions for their Lagrange multiplier set to be nonempty. MPCCs that have nonempty Lagrange multiplier sets and that satisfy the quadratic growth condition can … Read more
We present a time-stepping method to simulate rigid multibody dynamics with inelastic collision, contact, and friction. The method progresses with fixed time step without backtracking for collision and solves at every step a strictly convex quadratic program. We prove that a solution sequence of the method converges to the solution of a measure differential inclusion. … Read more