本文研究非线性互补约束优化问题,利用Fischer—Burmeister函数将非线性互补问题转化为非光滑方程,提出一个求解非线性互补约束问题的SQP算法,并在适当的假设下证明这个算法是全局收敛的.
In this paper, mathematical problems with nonlinear complementarity constraints are considered. By means of Fischer-Burmeister function, the nonlinear complementarity condition is transformed into a nonsmooth equation. Then, during the iteration, a corresponding smooth system approximates the nonsmooth equation. The smooth optimization is solve by SQP algorithm for standard constrained optimization. Global convergence of the algorithm is established under appropriate assumptions.