A Superlinearly Convergent Interior-point Method for Mathematical Programs with Equilibrium Constraints

Event Details
  • Date/Time:
    • Wednesday October 22, 2003
      11:00 am - 12:00 am
  • Location: 228 Main Building
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Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: A Superlinearly Convergent Interior-point Method for Mathematical Programs with Equilibrium Constraints

Full Summary: A Superlinearly Convergent Interior-point Method for Mathematical Programs with Equilibrium Constraints

We propose a new interior-point method for Mathematical Programs
with Equilibrium Constraints (MPECs). The approach makes use of a sequence of relaxed MPECs parameterized by a relaxation parameter vector and only performs
one log-barrier Newton step for each relaxed MPEC. Unlike previous approaches, the barrier and relaxation parameters are updated in such a way that the strict
interior of the relaxed MPEC remains nonempty even in the limit. We analyze the
convergence properties of the proposed algorithm.

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:42am
  • Last Updated: Oct 7, 2016 - 9:52pm