Department of Applied Mathematics & Physics, Kyoto Univiversity
Technical Report #99020 (October, 1999)
An Implementable Active-Set Algorithm for Computing a B-Stationary Point of the Mathematical Program with Linear Complementarity Constraints
by Masao Fukushima and Paul Tseng
We consider a mathematical program with smooth
objective function and
constraints. We propose an $\epsilon$-active
set algorithm which,
under a uniform LICQ on the $\epsilon$-feasible
iterates whose cluster points are B-stationary
points of the problem.
If the objective function is quadratic and
$\epsilon$ is set to zero,
the algorithm terminates finitely.
Some numerical experience with the algorithm is