An SQP algorithm for mathematical programs with nonlinear complementarity constraints

摘要

In this paper,we describe a successive approximation and smooth sequential quadratic programming(SQP) method for mathematical programs with nonlinear complementarity constraints(MPCC).We introduce a class of smooth programs to approximate the MPCC.Using an l1 penalty function,the line search assures global convergence,while the superlinear convergence rate is shown under the strictly complementary and second-order suffcient conditions.Moreover,we prove that the current iterated point is an exact stationary point of the mathematical programs with equilibrium constraints(MPEC) when the algorithm terminates finitely.