Reformulation of the M-stationarity conditions as a system of discontinuous equations and its solution by a semismooth Newton method

Felix Harder, Patrick Mehlitz, Gerd Wachsmuth

Published 2020-02-24Version 1

We show that the Mordukhovich-stationarity system associated with a mathematical program with complementarity constraints (MPCC) can be equivalently written as a system of discontinuous equations which can be tackled with a semismooth Newton method. We show that the resulting algorithm can be interpreted as an active set strategy for MPCCs. Local fast convergence of the method is guaranteed under validity of an MPCC-tailored version of LICQ and a suitable second-order condition. In case of linear-quadratic MPCCs, the LICQ-type constraint qualification can be replaced by a weaker condition which depends on the underlying multipliers. We discuss a suitable globalization strategy for our method. Some numerical results are presented in order to illustrate our theoretical findings.