An interior-point method for mpecs based on strictly feasible relaxations.

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Show simple item record Miguel, Angel Víctor de Friedlander, Michael P. Nogales Martín, Francisco Javier Scholtes, Stefan 2006-11-09T10:55:52Z 2006-11-09T10:55:52Z 2004-04
dc.description.abstract An interior-point method for solving mathematical programs with equilibrium constraints (MPECs) is proposed. At each iteration of the algorithm, a single primaldual step is computed from each subproblem of a sequence. Each subproblem is defined as a relaxation of the MPEC with a nonempty strictly feasible region. In contrast to previous approaches, the proposed relaxation scheme preserves the nonempty strict feasibility of each subproblem even in the limit. Local and superlinear convergence of the algorithm is proved even with a less restrictive strict complementarity condition than the standard one. Moreover, mechanisms for inducing global convergence in practice are proposed. Numerical results on the MacMPEC test problem set demonstrate the fast-local convergence properties of the algorithm.
dc.format.extent 584962 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 2004-08
dc.title An interior-point method for mpecs based on strictly feasible relaxations.
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws042408
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