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Convergence of a Penalty Method for Mathematical Programming with Complementarity Constraints

Author

Listed:
  • X. M. Hu

    (CSIRO Manufacturing and Infrastructure Technology)

  • D. Ralph

    (University of Cambridge)

Abstract

We adapt the convergence analysis of the smoothing (Ref. 1) and regularization (Ref. 2) methods to a penalty framework for mathematical programs with complementarity constraints (MPCC); we show that the penalty framework shares convergence properties similar to those of these methods. Moreover, we give sufficient conditions for a sequence generated by the penalty framework to be attracted to a B-stationary point of the MPCC.

Suggested Citation

  • X. M. Hu & D. Ralph, 2004. "Convergence of a Penalty Method for Mathematical Programming with Complementarity Constraints," Journal of Optimization Theory and Applications, Springer, vol. 123(2), pages 365-390, November.
    • Handle: RePEc:spr:joptap:v:123:y:2004:i:2:d:10.1007_s10957-004-5154-0
    DOI: 10.1007/s10957-004-5154-0
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    References listed on IDEAS

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    1. Holger Scheel & Stefan Scholtes, 2000. "Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity," Mathematics of Operations Research, INFORMS, vol. 25(1), pages 1-22, February.
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