Title: An Implementable Active-Set Algorithm for Computing a B-Stationary Point of a Mathematical Program with Linear Complementarity Constraints
Abstract:We consider a mathematical program with a smooth objective function and linear inequality/complementarity constraints. We propose an $\epsilon$-active set algorithm which, under a uniform LICQ on the ...We consider a mathematical program with a smooth objective function and linear inequality/complementarity constraints. We propose an $\epsilon$-active set algorithm which, under a uniform LICQ on the $\epsilon$-feasible set, generates iterates whose cluster points are B-stationary points of the problem. If the objective function is quadratic and $\epsilon$ is set to zero, the algorithm terminates finitely. Some numerical experience with the algorithm is reported. An erratum to this article has been appended at the end of the pdf file.Read More