A complementarity-based partitioning and disjunctive cut algorithm for mathematical programming problems with equilibrium constraints

J. Júdice, H. Sherali, I. Ribeiro and A. Faustino

Abstract

In this paper a branch-and-bound algorithm is proposed for finding a global minimum to a Mathematical Programming Problem with Complementarity (or Equilibrium) Cons\-traints (MPECs), which incorporates disjunctive cuts for computing lower bounds and employs a Complementarity Active-Set Algorithm for computing upper bounds. Computational results for solving MPECs associated with Bilivel Problems, NP-hard Linear Complementarity Problems, and Hinge Fitting Problems are presented to highlight the efficacy of the procedure in determining a global minimum for different classes of MPECs.