A global QP-free algorithm for mathematical programs with complementarity constraints

Abstract

Abstract In this paper, a primal–dual interior point QP-free algorithm for mathematical programs with complementarity constraints is presented. Firstly, based on Fischer–Burmeister function and smoothing techniques, the investigated problem is approximated by a smooth nonlinear constrained optimization problem. Secondly, combining with an effective penalty function technique and working set, a QP-free algorithm is proposed to solve the smooth constrained optimization problem. At each iteration, only two reduced linear equations with the same coefficient matrix are solved to obtain the search direction. Under some mild conditions, the proposed algorithm possesses global convergence. Finally, some numerical results are reported.

Keywords

• Complementarity constraints
• Working set
• QP-free algorithm
• Global convergence