The inexact log-exponential regularization method for mathematical programs with vertical complementarity constraints

Liping Pang; Na Xu; Jian Lv

doi:10.3934/jimo.2018032

Article Contents

2019, Volume 15, Issue 1: 59-79. Doi: 10.3934/jimo.2018032

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The inexact log-exponential regularization method for mathematical programs with vertical complementarity constraints

a, b.
School of Mathematical Sciences, Dalian University of Technology, Liaoning 116024, China
c.
School of Finance, Zhejiang University of Finance and Economics, Zhejiang 310018, China

* Corresponding author: Li-Ping Pang
* Corresponding author: Li-Ping Pang

Received: February 2017

Revised: November 2017

Early access: April 2018

Published: January 2019

The first author is supported by Huzhou science and technology plan on No.2016GY03

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Abstract

We study the convergence of the log-exponential regularization method for mathematical programs with vertical complementarity constraints (MPVCC). The previous paper assume that the sequence of Lagrange multipliers are bounded and it can be found by software. However, the KKT points can not be computed via Matlab subroutines exactly in many cases. We note that it is realistic to compute inexact KKT points from a numerical point of view. We prove that, under the MPVCC-MFCQ assumption, the accumulation point of the inexact KKT points is Clarke (C-) stationary point. The idea of inexact KKT conditions can be used to define stopping criteria for many practical algorithms. Furthermore, we introduce a feasible strategy that guarantees inexact KKT conditions and provide some numerical examples to certify the reliability of the approach. It means that we can apply the inexact regularization method to solve MPVCC and show the advantages of the improvement.

Keywords:

Mathematical program with vertical complementarity constraints,
inexact KKT points,
C-/M-stationarity,
constraint qualification,
convergence,
inexact regularization method.

Mathematics Subject Classification: Primary: 90C30, 90C33; Secondary: 90C46.

Citation:

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Table 1. The numerical results for Example 2

t	$(y^t_1, y^t_2, y^t_3, y^t_4, z^t_1, z^t_2)$	$ f^t $
0.2	(0.0592, -0.4868, 0.3863, 0.2741, 1.0058, 0.4937)	1.7496
0.01	(-0.0000, -0.4999, 0.4011, 0.1994, 1.0001, 0.4999)	1.6929
0.005	( 0.0000, -0.5000, 0.3997, 0.1998, 1.0000, 0.5000)	1.6901

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Table 2. The numerical results for Example 4, 5

Example	Algorithm	$z$	$f$	$Gap$
4	Algorithm 2	(0.0000, 2.0000)	0.0000	100 %
	fmincon	(0.0004, 2.0000)	0.0000	99.98 %
	ADH	(0.0000, 1.9988)	0.0000	99.94 %
	AH	(-0.0000, 1.9999)	0.0000	100 %
	$Polak^1$	(0.0000, 1.8708)	0.0167	93.54 %
5	Algorithm 2	(0.7500, 0.0000)	0.0625	100 %
	fmincon	(0.7500, 0.0003)	0.0625	99.96 %
	ADH	(0.7500, 0.0000)	0.0625	100 %
	AH	(0.7500, 0.0000)	0.0625	100 %
	$Polak^1$	(0.7500, 0.0000)	0.0625	100 %

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