A study of the difference-of-convex approach for solving linear programs with complementarity constraints

• 成果类型: Article
• 署名作者: Jara-Moroni, Francisco; Pang, Jong-Shi; Wachter, Andreas
• 署名单位: Northwestern University; University of Southern California
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-017-1208-6
• 发表日期: 2018
• 页码: 221-254
• 关键词: mathematical programs; CONVERGENCE

摘要

This paper studies the difference-of-convex (DC) penalty formulations and the associated difference-of-convex algorithm (DCA) for computing stationary solutions of linear programs with complementarity constraints (LPCCs). We focus on three such formulations and establish connections between their stationary solutions and those of the LPCC. Improvements of the DCA are proposed to remedy some drawbacks in a straightforward adaptation of the DCA to these formulations. Extensive numerical results, including comparisons with an existing nonlinear programming solver and the mixed-integer formulation, are presented to elucidate the effectiveness of the overall DC approach.