Elastic-mode algorithms for mathematical programs with equilibrium constraints: global convergence and stationarity properties

The elastic-mode formulation of the problem of minimizing a nonlinear function subject to equilibrium constraints has appealing local properties in that, for a finite value of the penalty parameter, local solutions satisfying first- and second-order necessary optimality conditions for the original problem are also first- and second-order points of the elastic-mode formulation. Here we study global convergence properties of methods based on this formulation, which involve generating an (exact or inexact) first- or second-order point of the formulation, for nondecreasing values of the penalty parameter. Under certain regularity conditions on the active constraints, we establish finite or asymptotic convergence to points having a certain stationarity property (such as strong stationarity, M-stationarity, or C-stationarity). Numerical experience with these approaches is discussed. In particular, our analysis and the numerical evidence show that exact complementarity can be achieved �...

• Type: Journal
• Year: 2007
• Where: MP
• Authors: Mihai Anitescu, Paul Tseng, Stephen J. Wright
• Keywords: Elastic-mode Formulation, MP 2007, Penalty Parameter, Second-order Point