CHEN Feng-hua, ZHU Zhi-bin, LI Shuang-an, et al. An SQP Algorithm for Optimization with Linear Complementary Constraints[J]. 2014, 19(2): 101-105.
DOI:
CHEN Feng-hua, ZHU Zhi-bin, LI Shuang-an, et al. An SQP Algorithm for Optimization with Linear Complementary Constraints[J]. 2014, 19(2): 101-105.DOI: 10.15938/j.jhust.2014.02.003.
An SQP Algorithm for Optimization with Linear Complementary Constraints
摘要
针对非线性规划一些经典的算法一般不能直接应用到均衡问题上来的缺点
通过一个处处连续可微的互补函数以及光滑近似法的思想
把互补约束均衡问题转化为一光滑非线性规划问题
提出一个SQP算法求解该光滑非线性规划问题
并给出了算法的数值解
数值实验结果表明算法具有很好的收敛速度和寻优结果. 更多还原
Abstract
Against the shortcomings that many existing algorithms for solving the standard smoothing nonlinear programming( SSNP) would fail if they were used directly to solve the mathematical programs with equilibrium con- straints( MPEC) . By using a complementarity function and the idea of smoothing approximation method,the MPECproblem was transformed into a nonlinearprogramming,and an SQP algorithm is proposed for the solution of MPEC problem. Further the numerical solution to the algorithm is given. Preliminary numerical results show that it can bea very good convergence speed and optimization results.