Formulating and Solving Nonlinear Programs as Mixed Complementarity Problems (2000)
| Venue: | Optimization. Lecture Notes in Economics and Mathematical Systems |
| Citations: | 3 - 0 self |
BibTeX
@INPROCEEDINGS{Ferris00formulatingand,
author = {Michael C. Ferris and Krung Sinapiromsaran},
title = {Formulating and Solving Nonlinear Programs as Mixed Complementarity Problems},
booktitle = {Optimization. Lecture Notes in Economics and Mathematical Systems},
year = {2000},
pages = {132--148},
publisher = {Springer-Verlag}
}
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Abstract
. We consider a primal-dual approach to solve nonlinear programming problems within the AMPL modeling language, via a mixed complementarity formulation. The modeling language supplies the first order and second order derivative information of the Lagrangian function of the nonlinear problem using automatic differentiation. The PATH solver finds the solution of the first order conditions which are generated automatically from this derivative information. In addition, the link incorporates the objective function into a new merit function for the PATH solver to improve the capability of the complementarity algorithm for finding optimal solutions of the nonlinear program. We test the new solver on various test suites from the literature and compare with other available nonlinear programming solvers. Keywords: Complementarity problems, nonlinear programs, automatic differentiation, modeling languages. 1 Introduction While the use of the simplex algorithm for linear programs in the 1940's h...
