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Mounir Haddou (Univ. Rennes)

Numerical methods for Mathematical Programs with Complementarity Constraint

Venue: HS 7 OMP1

Monday, 27.11.2017

Mathematical programs with complementarity constraint (MPCC) are nonlinear optimization problem over a possibly non-convex and non-connected domain. Most of the numerical methods for nonlinear optimization problems relies on solving first-/second- order optimality conditions, which fail to hold for MPCC in general.
Some recent progress on MPCC-tailored optimality conditions,  allow to build efficient relaxation methods starting from Kadrani et al in 2009 and followed by Kanzow & Schwarz in 2010.
We will discuss the weakest conditions needed to ensure convergence of these methods, present a new method with improved properties and present numerical comparison of these methods on a large number of test problems.

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Institut für Statistik und Operations Research
University of Vienna

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