constraint qualifications – Page 6

Universal Duality in Conic Convex Optimization

Published: 2004/05/28, Updated: 2005/10/04

Given a primal-dual pair of linear programs, it is well known that if their optimal values are viewed as lying on the extended real line, then the duality gap is zero, unless both problems are infeasible, in which case the optimal values are +infinity and -infinity. In contrast, for optimization problems over nonpolyhedral convex cones, … Read more

A robust SQP method for mathematical programs with linear complementarity constraints

Published: 2003/09/27, Updated: 2003/10/23

Complementarity and Variational Inequalities complementarity, constraint qualifications, mathematical programs with equilibrium constraints, nondegeneracy, sequential quadratic programming

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 … Read more