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On the computation of relaxed pessimistic solutions to MPECs
- 1.0366653 - ÚTIA 2013 RIV GB eng J - Journal Article
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
R&D Projects: GA MŠMT 1M0572; GA ČR GA201/09/1957
Institutional research plan: CEZ:AV0Z10300504; CEZ:AV0Z10750506
Keywords : MPEC * equilibrium constraints * pessimistic solution * value function * relaxed and approximate solutions
Subject RIV: BA - General Mathematics
Impact factor: 1.210, year: 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.
Permanent Link: http://hdl.handle.net/11104/0201555
Number of the records: 1