On the computation of relaxed pessimistic solutions to MPECs

0366653 - ÚTIA 2013 RIV GB eng J - Článek v odborném periodiku
Červinka, Michal - Matonoha, Ctirad - Outrata, Jiří
On the computation of relaxed pessimistic solutions to MPECs.
Optimization Methods & Software. Roč. 28, č. 1 (2013), s. 186-206. ISSN 1055-6788. E-ISSN 1029-4937
Grant CEP: GA MŠMT 1M0572; GA ČR GA201/09/1957
Výzkumný záměr: CEZ:AV0Z10300504; CEZ:AV0Z10750506
Klíčová slova: MPEC * equilibrium constraints * pessimistic solution * value function * relaxed and approximate solutions
Kód oboru RIV: BA - Obecná matematika
Impakt faktor: 1.210, rok: 2013

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.
Trvalý link: http://hdl.handle.net/11104/0201555