Abstract
In this paper, we present a new extreme point algorithm to solve a mathematical program with linear complementarity constraints without requiring the upper level objective function of the problem to be concave. Furthermore, we introduce this extreme point algorithm into piecewise sequential quadratic programming (PSQP) algorithms. Numerical experiments show that the new algorithm is efficient in practice.
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Zhang, J., Liu, G. A New Extreme Point Algorithm and Its Application in PSQP Algorithms for Solving Mathematical Programs with Linear Complementarity Constraints. Journal of Global Optimization 19, 345–361 (2001). https://doi.org/10.1023/A:1011226232107
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DOI: https://doi.org/10.1023/A:1011226232107