求解互补约束优化问题的一类光滑化算法

A kind of smoothing algorithm for mathematical program with complementarity constraints

互补约束优化问题(mathematical program with complementarity constraints,简记MPCC)是一类重要的平衡约束优化问题.此类问题具有十分广泛的应用.采用光滑化策略,用一类几乎处处光滑函数替代互补约束,从而将MPCC转化为一系列非线性规划问题(nonlinear programming,简记NLP).给出迭代算法并对Mac MPEC数据库中的一些问题测试了算法的有效性.

Mathematical program with complementarity constraints is a kind of important problem of mathematical program with equilibrium constraints,and it has very wide applications. In this paper,using smoothing strategy,the complementarity constraints is replaced by an almost smooth equation. Moreover,MPCC is changed into a sequence of nonlinear programming. We present the iterative algorithm and test the efficiency for some problems in Mac MPEC database.