Institute of Information Theory and Automation

Publication details

On the computation of relaxed pessimistic solutions to MPECs

Journal Article

Červinka Michal, Matonoha Ctirad, Outrata Jiří

serial: Optimization Methods & Software vol.28, 1 (2013), p. 186-206

research: CEZ:AV0Z10300504

research: CEZ:AV0Z10750506

project(s): 1M0572, GA MŠk, GA201/09/1957, GA ČR

keywords: MPEC, equilibrium constraints, pessimistic solution, value function, relaxed and approximate solutions

abstract (eng):

In this paper, we propose a new numerical method to compute approximate and the so-called relaxed pessimistic solutions to mathematical programs with equilibrium constraints (MPECs), where the solution map arising in the equilibrium constraints is not single-valued. This method combines two types of existing codes, a code for derivative-free optimization under box constraints, BFO or BOBYQA, and a method for solving special parametric MPECs from the interactive system UFO. We report on numerical performance in several small-dimensional test problems.


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Last modification: 21.12.2012
Institute of Information Theory and Automation