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Stationarity conditions and constraint qualifications for mathematical programs with switching constraints

With applications to either-or-constrained programming

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Abstract

In optimal control, switching structures demanding at most one control to be active at any time instance appear frequently. Discretizing such problems, a so-called mathematical program with switching constraints is obtained. Although these problems are related to other types of disjunctive programs like optimization problems with complementarity or vanishing constraints, their inherent structure makes a separate consideration necessary. Since standard constraint qualifications are likely to fail at the feasible points of switching-constrained optimization problems, stationarity notions which are weaker than the associated Karush–Kuhn–Tucker conditions need to be investigated in order to find applicable necessary optimality conditions. Furthermore, appropriately tailored constraint qualifications need to be formulated. In this paper, we introduce suitable notions of weak, Mordukhovich-, and strong stationarity for mathematical programs with switching constraints and present some associated constraint qualifications. Our findings are exploited to state necessary optimality conditions for (discretized) optimal control problems with switching constraints. Furthermore, we apply our results to optimization problems with either-or-constraints. First, a novel reformulation of such problems using switching constraints is presented. Second, the derived surrogate problem is exploited to obtain necessary optimality conditions for the original program.

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Acknowledgements

The author sincerely thanks Christian Kanzow and Matúš Benko for fruitful discussions and helpful suggestions about the actual presentation of the obtained results. Furthermore, the author gratefully acknowledges the remarks of two anonymous reviewers which helped to improve the paper’s overall quality.

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  1. Chair of Optimal Control, Brandenburgische Technische Universität Cottbus-Senftenberg, 03046, Cottbus, Germany

    Patrick Mehlitz

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Mehlitz, P. Stationarity conditions and constraint qualifications for mathematical programs with switching constraints. Math. Program. 181, 149–186 (2020). https://doi.org/10.1007/s10107-019-01380-5

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