Solving Mathematical Programs with Equilibrium Constraints as Nonlinear Programming: A New Framework

We present a new framework for the solution of mathematical programs with equilibrium constraints (MPECs). In this algorithmic framework, an MPECs is viewed as a concentration of an unconstrained optimization which minimizes the complementarity measure and a nonlinear programming with general constraints. A strategy generalizing ideas of Byrd-Omojokun's trust region method is used to compute steps. By penalizing the tangential constraints into the objective function, we circumvent the problem of not satisfying MFCQ. A trust-funnel-like strategy is used to balance the improvements on feasibility and optimality. We show that, under MPEC-MFCQ, if the algorithm does not terminate in finite steps, then at least one accumulation point of the iterates sequence is an S-stationary point

Numerical experiments with a modified regularization scheme for mathematical programs with complementarity constraints

On this paper we present a modified regularization scheme for Mathematical Programs with Complementarity Constraints. In the regularized formulations the complementarity condition is replaced by a constraint involving a positive parameter that can be decreased to zero. In our approach both the complementarity condition and the nonnegativity constraints are relaxed. An iterative algorithm is implemented in MATLAB language and a set of AMPL problems from MacMPEC database were tested

A direct method for trajectory optimization of rigid bodies through contact

Direct methods for trajectory optimization are widely used for planning locally optimal trajectories of robotic systems. Many critical tasks, such as locomotion and manipulation, often involve impacting the ground or objects in the environment. Most state-of-the-art techniques treat the discontinuous dynamics that result from impacts as discrete modes and restrict the search for a complete path to a specified sequence through these modes. Here we present a novel method for trajectory planning of rigid-body systems that contact their environment through inelastic impacts and Coulomb friction. This method eliminates the requirement for a priori mode ordering. Motivated by the formulation of multi-contact dynamics as a Linear Complementarity Problem for forward simulation, the proposed algorithm poses the optimization problem as a Mathematical Program with Complementarity Constraints. We leverage Sequential Quadratic Programming to naturally resolve contact constraint forces while simultaneously optimizing a trajectory that satisfies the complementarity constraints. The method scales well to high-dimensional systems with large numbers of possible modes. We demonstrate the approach on four increasingly complex systems: rotating a pinned object with a finger, simple grasping and manipulation, planar walking with the Spring Flamingo robot, and high-speed bipedal running on the FastRunner platform.United States. Defense Advanced Research Projects Agency. Maximum Mobility and Manipulation Program (Grant W91CRB-11-1-0001)National Science Foundation (U.S.) (Grant IIS-0746194)National Science Foundation (U.S.) (Grant IIS-1161909)National Science Foundation (U.S.) (Grant IIS-0915148

Solving a signalized traffic intersection problem with NLP solvers

Mathematical Programs with Complementarity Constraints (MPCC) finds many applications in areas such engineering design, economic equilibrium and mathematical theory itself. In this work we consider a queuing system model resulting from a single signalized traffic intersection regulated by pre-timed control in an urban traffic network. The model is formulated as an MPCC problem and may be used to ascertain the optimal cycle and the green split allocation. This MPCC problem is also formulated as its NLP equivalent reformulation. The goal of this work is to solve the problem, using both MPCC and NLP formulations, minimizing two objective functions: the average queue length over all queues and the average waiting time over the worst queue. The problem was codified in AMPL and solved using some optimization software packages.Fundação para a Ciência e a Tecnologia (FCT) FCOMP-01-0124-FEDER-022674 (R&D unit Algoritmi)PEst-OE/MAT/UI4080/201

AN INTERIOR-POINT METHOD FOR MPECs BASED ON STRICTLY FEASIBLE RELAXATIONS.

An interior-point method for solving mathematical programs with equilibrium constraints (MPECs) is proposed. At each iteration of the algorithm, a single primaldual step is computed from each subproblem of a sequence. Each subproblem is defined as a relaxation of the MPEC with a nonempty strictly feasible region. In contrast to previous approaches, the proposed relaxation scheme preserves the nonempty strict feasibility of each subproblem even in the limit. Local and superlinear convergence of the algorithm is proved even with a less restrictive strict complementarity condition than the standard one. Moreover, mechanisms for inducing global convergence in practice are proposed. Numerical results on the MacMPEC test problem set demonstrate the fast-local convergence properties of the algorithm.

An interior-point method for mpecs based on strictly feasible relaxations.

An interior-point method for solving mathematical programs with equilibrium constraints (MPECs) is proposed. At each iteration of the algorithm, a single primaldual step is computed from each subproblem of a sequence. Each subproblem is defined as a relaxation of the MPEC with a nonempty strictly feasible region. In contrast to previous approaches, the proposed relaxation scheme preserves the nonempty strict feasibility of each subproblem even in the limit. Local and superlinear convergence of the algorithm is proved even with a less restrictive strict complementarity condition than the standard one. Moreover, mechanisms for inducing global convergence in practice are proposed. Numerical results on the MacMPEC test problem set demonstrate the fast-local convergence properties of the algorithm

A penalty method and a regularization strategy to solve MPCC

The goal of this paper is to solve mathematical programme with complementarity constraints using nonlinear programming techniques. This work presents two algorithms based on several nonlinear techniques such as sequential quadratic programming, penalty techniques and regularization schemes. A set of AMPL (A Modeling Language for Mathematical Programming) problems were tested and the computational experience shows that both algorithms are effective.Fundação para a Ciência e a Tecnologia (FCT

Using EPECs to model bilevel games in restructured electricity markets with locational prices

CWPE0619 (EPRG0602) Xinmin Hu and Daniel Ralph (Feb 2006) Using EPECs to model bilevel games in restructured electricity markets with locational prices We study a bilevel noncooperative game-theoretic model of electricity markets with locational marginal prices. Each player faces a bilevel optimization problem that we remodel as a mathematical program with equilibrium constraints, MPEC. This gives an EPEC, equilibrium problem with equilibrium constraints. We establish sufficient conditions for existence of pure strategy Nash equilibria for this class of bilevel games and give some applications. We show by examples the effect of network transmission limits, i.e. congestion, on existence of equilibria. Then we study, for more general EPECs, the weaker pure strategy concepts of local Nash and Nash stationary equilibria. We model the latter via complementarity problems, CPs. Finally, we present numerical examples of methods that attempt to find local Nash or Nash stationary equilibria of randomly generated electricity market games. The CP solver PATH is found to be rather effective in this context