A complementarity active-set algorithm for mathematical programming problems with equilibrium constraints

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

Abstract

In this paper, an algorithm for solving a Mathematical Programming Problem with Complementarity (or Equilibrium) Constraints (MPEC) is introduced, which uses the active-set methodology while maintaining the complementarity restrictions throughout the procedure. Finite convergence of the algorithm to a strongly stationary point of the MPEC is established under reasonable hypotheses. The algorithm can be easily implemented by adopting any active-set code for nonlinear programming. Computational experience is included to highlight the efficacy of the proposed method in practice.