MPEC Solver

Introduction

This repository holds the Matlab implementation of some self-written MPEC solvers.

NIPMPEC_CasADi is the implementation of our previous research to the general MPEC problem formulation. Refer to the following paper dedicated to solve the continuous time optimal control problem:

1. Kangyu Lin and Toshiyuki Ohtsuka, "A Non-Interior-Point Continuation Method for the Optimal Control Problem with Equilibrium Constraints"，2022, (under review) https://arxiv.org/abs/2210.10336,

Stabilized_SQP_Izmailov2015(only test small problem) and Stabilized_SQP_Gill2017 (TBD) are two degenerate NLP solvers which use the the augmented Lagrangian to globalize the local stabilized SQP method. These two solvers are the literature reproduction of the following two paper:

1. A.F.Izmailov et al. "Combining stabilized SQP with the augmented Lagrangian algorithm", Computational Optimization and Applications, 2015， https://link.springer.com/article/10.1007/s10589-015-9744-6
2. P.E. Gill et al. "A stabilized SQP method: superlinear convergence, ", Mathematical Programming, 2017, https://link.springer.com/article/10.1007/s10107-016-1066-7

Requirements

• MATLAB 2019b or later
• CasADi