Global Optimization Method for Solving Mathematical Programs with Linear Complementarity Constraints

We propose a method for finding a global optimal solution of programs with linear complementarity constraints. This problem arises for instance in bilevel programming. The main idea of the method is to generate a sequence of points either ending at a global optimal solution within a finite number of...

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Vydané v:Journal of optimization theory and applications Ročník 124; číslo 2; s. 467 - 490
Hlavní autori: Thoai, N. V., Yamamoto, Y., Yoshise, A.
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York, NY Springer 01.02.2005
Springer Nature B.V
Predmet:
Algorithms
Applied sciences
Exact sciences and technology
Mathematical programming
Operational research and scientific management
Operational research. Management science
Optimization
Polytopes
equilibrium constraints
Branch and bound method
Optimization method
Global optimum
Linear programming
Bilevel programming
Programs with linear complementarity constraints
Numerical method
Complementarity problem
Equilibrium condition
Global solution
global optimization
Optimal solution
Mathematical programming
ISSN:0022-3239, 1573-2878
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Shrnutí:We propose a method for finding a global optimal solution of programs with linear complementarity constraints. This problem arises for instance in bilevel programming. The main idea of the method is to generate a sequence of points either ending at a global optimal solution within a finite number of iterations or converging to a global optimal solution. The construction of such sequence is based on branch-and-bound techniques, which have been used successfully in global optimization. Results on a numerical test of the algorithm are reported.
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ISSN:0022-3239
1573-2878
DOI:10.1007/s10957-004-0946-9