Levenberg-Marquardt Method for Mathematical Programs with Linearly Complementarity Constraints

摘要

In this paper, a new method for solving a mathematical programming problem with linearly complementarity constraints (MPLCC) is introduced, which applies the Levenberg-Marquardt (L-M) method to solve the B-stationary condition of original problem. Under the MPEC-LICQ, the proposed method is proved convergent to B-stationary point of MPLCC.