A Globally Convergent Filter Method for MPECs
نویسندگان
چکیده
We propose a new method for mathematical programs with complementarity constraints that is globally convergent to B-stationary points. The method solves a linear program with complementarity constraints to obtain an estimate of the active set. It then fixes the activities and solves an equality-constrained quadratic program to obtain fast convergence. The method uses a filter to promote global convergence. We establish convergence to B-stationary points.
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