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 linear inequality/complementarity constraints. We propose an $\epsilon$-active set algorithm which, under a uniform LICQ on the $\epsilon$-feasible set, generates 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 reported.