Journal
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
Volume 27, Issue 3, Pages 223-246Publisher
SPRINGER
DOI: 10.1023/B:COAP.0000013057.54647.6d
Keywords
mathematical program with equilibrium constraints; P-matrix linear complementarity problem; reformulation; smoothing approximation
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We consider a mathematical program whose constraints involve a parametric P-matrix linear complementarity problem with the design ( upper level) variables as parameters. Solutions of this complementarity problem define a piecewise linear function of the parameters. We study a smoothing function of this function for solving the mathematical program. We investigate the limiting behaviour of optimal solutions, KKT points and B-stationary points of the smoothing problem. We show that a class of mathematical programs with P-matrix linear complementarity constraints can be reformulated as a piecewise convex program and solved through a sequence of continuously differentiable convex programs. Preliminary numerical results indicate that the method and convex reformulation are promising.
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