An Implementable Active-Set Algorithm for Computing a B-Stationary Point of a Mathematical Program with Linear Complementarity Constraints
Masao Fukushima, Paul Tseng · SIAM Journal on Optimization · 2002
We consider a mathematical program with a smooth objective function and linear inequality/complementarity constraints. We propose an $\epsilon$-active set algorithm which, under a uniform LICQ on the $\epsilon$-feasible set, generates iterates whose cluster points are B-stationary points of the problem. If the objective function is quadratic and $\epsilon$ is set to zero, the algorithm terminates finitely. Some numerical experience with the algorithm is reported. An erratum to this article has been appended at the end of the pdf file.