Global optimization method for solving mathematical programs with linear complementarity constraints

We propose a method for finding a global optimal solution of programs with linear complementarity constraints. This problem arises for instance in bilevel programming. The main idea of the method is to generate a sequence of points either ending at a global optimal solution within a finite number of...

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Bibliographic Details
Published in:Journal of optimization theory and applications 2005-02, Vol.124 (2), p.467-490
Main Authors: THOAI, N. V, YAMAMOTO, Y, YOSHISE, A
Format: Article
Language:English
Subjects:
Algorithms
Applied sciences
Exact sciences and technology
Mathematical programming
Operational research and scientific management
Operational research. Management science
Optimization
Polytopes
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Summary:We propose a method for finding a global optimal solution of programs with linear complementarity constraints. This problem arises for instance in bilevel programming. The main idea of the method is to generate a sequence of points either ending at a global optimal solution within a finite number of iterations or converging to a global optimal solution. The construction of such sequence is based on branch-and-bound techniques, which have been used successfully in global optimization. Results on a numerical test of the algorithm are reported.
ISSN:0022-3239
1573-2878
DOI:10.1007/s10957-004-0946-9