A Heuristic for Complementarity Problems Using Difference of Convex Functions

Published Online:https://doi.org/10.1287/ijoc.2024.0822

References

  • Ahmed S, Xie W (2018) Relaxations and approximations of chance constraints under finite distributions. Math. Programming 170(1):43–65.CrossrefGoogle Scholar
  • An LTH, Tao PD (2005) The DC (difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems. Ann. Oper. Res. 133(1):23–46.CrossrefGoogle Scholar
  • ApS M (2019) MOSEK Optimization Suite, Version 8.1. Manual (MOSEK ApS, Copenhagen).Google Scholar
  • Birge JR, Louveaux F (2011) Introduction to Stochastic Programming (Springer Science & Business Media, New York).CrossrefGoogle Scholar
  • Bonami P, Lejeune MA (2009) An exact solution approach for portfolio optimization problems under stochastic and integer constraints. Oper. Res. 57(3):650–670.LinkGoogle Scholar
  • Boyd N (2024) Equilibrium programming for improved management of water-resource systems. PhD thesis, University of Maryland, College Park, MD.Google Scholar
  • Bynum ML, Hackebeil GA, Hart WE, Laird CD, Nicholson BL, Siirola JD, Watson J-P, et al.. (2021) Pyomo–Optimization Modeling in Python, 3rd ed., vol. 67 (Springer Science & Business Media, New York).CrossrefGoogle Scholar
  • Byong-Hun A (1983) Iterative methods for linear complementarity problems with upper bounds on primary variables. Math. Programming 26(3):295–315.CrossrefGoogle Scholar
  • Cafieri S, D’Apuzzo M, Marino M, Mucherino A, Toraldo G (2006) Interior-point solver for large-scale quadratic programming problems with bound constraints. J. Optim. Theory Appl. 129(1):55–75.CrossrefGoogle Scholar
  • Conejo AJ, Carrión M, Morales JM, et al. (2010) Decision Making Under Uncertainty in Electricity Markets, vol. 1 (Springer, New York).CrossrefGoogle Scholar
  • Constante-Flores G, Conejo A, Constante-Flores S (2022) Solving certain complementarity problems in power markets via convex programming. TOP 30(1):1–27.Google Scholar
  • Cottle RW, Pang J-S, Stone RE (2009) The Linear Complementarity Problem (SIAM, Philadelphia).CrossrefGoogle Scholar
  • de Oliveira W (2020) The ABC of DC programming. Set Valued Variance Anal. 28(3):679–706.CrossrefGoogle Scholar
  • Dinh Tao P, Le An TH (1997) Convex analysis approach to D.C. programming: Theory, algorithms and applications. Acta Math. Vietnam 22(1):289–355.Google Scholar
  • Dirkse SP, Ferris MC (1995) The PATH solver: A nommonotone stabilization scheme for mixed complementarity problems. Optim. Methods Software 5(2):123–156.CrossrefGoogle Scholar
  • Fathi Y (1979) Computational complexity of LCPs associated with positive definite symmetric matrices. Math. Programming 17(3):335–344.CrossrefGoogle Scholar
  • Ferris MC, Munson TS (1999) Interfaces to PATH 3.0: Design, implementation and usage. Computational Optimization: A Tribute to Olvi Mangasarian Volume I. (Kluwer Academic Publishers, Boston), 207–227.CrossrefGoogle Scholar
  • Fletcher R, Leyffer S (2004) Solving mathematical programs with equilibrium constraints as nonlinear programs. Optim. Methods Software 19(1):15–40.CrossrefGoogle Scholar
  • Floudas CA (1995) Nonlinear and Mixed-Integer Optimization: Fundamentals and Applications (Oxford University Press, New York).CrossrefGoogle Scholar
  • Gabriel SA (2017) Solving discretely constrained mixed complementarity problems using a median function. Optim. Engrg. 18(3):631–658.CrossrefGoogle Scholar
  • Gabriel SA, García-Bertrand R, Sahakij P, Conejo AJ (2006) A practical approach to approximate bilinear functions in mathematical programming problems by using Schur’s decomposition and SOS type 2 variables. J. Oper. Res. Soc. 57(8):995–1004.CrossrefGoogle Scholar
  • Gabriel SA, Conejo AJ, Fuller JD, Hobbs BF, Ruiz C (2012) Complementarity Modeling in Energy Markets, vol. 180 (Springer Science & Business Media, New York).Google Scholar
  • Gabriel SA, Flocco D, Boomsma TK, Schmidt M, Lejeune MA (2025a) A heuristic for complementarity problems using difference of convex functions. https://doi.org/10.1287/ijoc.2024.0822.cd, https://github.com/INFORMSJoC/2024.0822.Google Scholar
  • Gabriel SA, Flocco DC, Mazzini FF, Sotelo D, Castor KdS, Levorato M (2025b) Theoretical results for gas market equilibrium modeling with application to Brazil. Comput. Management Sci. 22(1):2–25. CrossrefGoogle Scholar
  • Geiger C, Kanzow C (1996) On the resolution of monotone complementarity problems. Comput. Optim. Appl. 5(2):155–173.CrossrefGoogle Scholar
  • Harker PT, Pang J-S (1990) Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications. Math. Programming 48(1–3):161–220.CrossrefGoogle Scholar
  • Hart WE, Watson J-P, Woodruff DL (2011) Pyomo: Modeling and solving mathematical programs in Python. Math. Programming Comput. 3(3):219–260.CrossrefGoogle Scholar
  • Hoai An LT, Tao PD, Nguyen Canh N, Van Thoai N (2009) DC programming techniques for solving a class of nonlinear bilevel programs. J. Global Optim. 44(1):313–337.CrossrefGoogle Scholar
  • Jara-Moroni F, Pang J-S, Wächter A (2018) A study of the difference-of-convex approach for solving linear programs with complementarity constraints. Math. Programming 169(1):221–254.CrossrefGoogle Scholar
  • Labbé M, Violin A (2013) Bilevel programming and price setting problems. 4OR 11(1):1–30.CrossrefGoogle Scholar
  • Lampariello L, Neumann C, Ricci JM, Sagratella S, Stein O (2021) Equilibrium selection for multi-portfolio optimization. Eur. J. Oper. Res. 295(1):363–373.CrossrefGoogle Scholar
  • Le Thi HA (2020) DC programming and DCA for supply chain and production management: State-of-the-art models and methods. Internat. J. Production Res. 58(20):6078–6114.CrossrefGoogle Scholar
  • Le Thi HA, Dinh TP (2001) A continuous approach for globally solving linearly constrained quadratic. Optimization 50(1–2):93–120.CrossrefGoogle Scholar
  • Le Thi HA, Pham Dinh T (2011) On solving linear complementarity problems by DC programming and DCA. Comput. Optim. Appl. 50(3):507–524.CrossrefGoogle Scholar
  • Le Thi HA, Pham Dinh T (2018) DC programming and DCA: Thirty years of developments. Math. Programming 169(1):5–68.CrossrefGoogle Scholar
  • Le Thi HA, Pham Dinh T (2023) Open issues and recent advances in DC programming and DCA. J. Global Optim. 88(3):533–590.CrossrefGoogle Scholar
  • Le Thi HA, Ho VT, Pham Dinh T (2019) A unified DC programming framework and efficient DCA based approaches for large scale batch reinforcement learning. J. Global Optim. 73(2):279–310.CrossrefGoogle Scholar
  • Le Thi HA, Huynh VN, Dinh TP (2014) DC programming and DCA for general DC programs. Proc. 2nd Internat. Conf. Comput. Sci. Appl. Math. Applications (ICCSAM 2014) (Springer, New York), 15–35.Google Scholar
  • Le Thi HA, Nguyen TMT, Dinh TP (2023) On solving difference of convex functions programs with linear complementarity constraints. Comput. Optim. Appl. 86(1):163–197.CrossrefGoogle Scholar
  • Lejeune M, Prékopa A (2018) Relaxations for probabilistically constrained stochastic programming problems: Review and extensions. Ann. Oper. Res. 271(1):1–22. Google Scholar
  • Murty KG (1988) Linear complementarity. Linear and Nonlinear Programming (Heldermann Verlag, Berlin).Google Scholar
  • Nguyen HN, Lisser A, Singh VV (2024) Random games under normal mean–variance mixture distributed independent linear joint chance constraints. Statist. Probability Lett. 208:110036.CrossrefGoogle Scholar
  • Pang J-S, Gabriel SA (1993) NE/SQP: A robust algorithm for the nonlinear complementarity problem. Math. Programming 60(1–3):295–337.CrossrefGoogle Scholar
  • Pham Dinh T, Le Thi HA, Akoa F (2008) Combining DCA (DC algorithms) and interior point techniques for large-scale nonconvex quadratic programming. Optim. Methods Software 23(4):609–629.CrossrefGoogle Scholar
  • Prékopa A, Ruszczyński A, Shapiro A (2003) Probabilistic programming models. Handbooks in Operations Research and Management Science, vol. 10 (Elsevier, Amsterdam), 267–351.Google Scholar
  • Scheel H, Scholtes S (2000) Mathematical programs with complementarity constraints: Stationarity, optimality, and sensitivity. Math. Oper. Res. 25(1):1–22.LinkGoogle Scholar
  • Siddiqui S, Gabriel SA (2013) An SOS1-based approach for solving MPECs with a natural gas market application. Network Spatial Econom. 13(2):205–227.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.