Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2002-002 (January 30, 2002)

A Modified Relaxation Scheme for Mathematical Programs with Complementarity Constraints
by Gui-Hua Lin and Masao Fukushima

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In this paper, we consider a mathematical program with complementarity constraints. We present a modified relaxed program for this problem, which involves less constraints than the relaxation scheme studied by Scholtes (2000). We show that the linear independence constraint qualification holds for the new relaxed problem under some mild conditions. We also consider a limiting behavior of the relaxed problem. We prove that any accumulation point of stationary points of the relaxed problems is C-stationary to the original problem under the MPEC linear independence constraint qualification and, if the Hessian matrices of the Lagrangian functions of the relaxed problems are uniformly bounded below on the corresponding tangent space, it is M-stationary. We also obtain some sufficient conditions of B-stationarity for a feasible point of the original problem. In particular, some conditions described by the eigenvalues of the Hessian matrices mentioned above are new and can be verified easily.