In this paper, an algorithm for solving a mathematicalprogrammingproblem with complementarity (or equilibrium) constraints (MPEC) is introduced, which uses the active-set methodology while maintaining the complement...
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In this paper, an algorithm for solving a mathematicalprogrammingproblem with complementarity (or equilibrium) constraints (MPEC) is introduced, which uses the active-set methodology while maintaining the complementarity restrictions throughout the procedure. Finite convergence of the algorithm to a strongly stationary point of the MPEC is established under reasonable hypotheses. The algorithm can be easily implemented by adopting any active-set code for nonlinear programming. Computational experience is included to highlight the efficacy of the proposed method in practice.
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