A NEW RELAXATION SCHEME FOR MATHEMATICAL PROGRAMS WITH EQUILIBRIUM CONSTRAINTS

作者：Steffensen Sonja^*; Ulbrich Michael

来源：SIAM Journal on Optimization, 2010, 20(5): 2504-2539.

DOI：10.1137/090748883

• mathematical program with equilibrium constraints (MPEC)
• relaxation
• complementarity constraint
• Clarke-stationarity
• Mordukhovich-stationarity
• strong stationarity
• constraint qualification
• nonlinear program

We present a new relaxation scheme for mathematical programs with equilibrium constraints (MPEC), where the complementarity constraints are replaced by a reformulation that is exact for the complementarity conditions corresponding to sufficiently nondegenerate complementarity components and relaxes only the remaining complementarity conditions. A positive parameter determines to what extent the complementarity conditions are relaxed. The relaxation scheme is such that a strongly stationary solution of the MPEC is also a solution of the relaxed problem if the relaxation parameter is chosen sufficiently small. We discuss the properties of the resulting parameterized nonlinear programs and compare stationary points and solutions. We further prove that a limit point of a sequence of stationary points of a sequence of relaxed problems is Clarke-stationary if it satisfies a so-called MPEC-constant rank constraint qualification, and it is Mordukhovich-stationary if it satisfies the MPEC-linear independence constraint qualification and the stationary points satisfy a second order sufficient condition. From this relaxation scheme, a numerical approach is derived that is applied to a comprehensive test set. The numerical results show that the approach combines good efficiency with high robustness.

• 出版日期2010