An Implementable Active-Set Algorithm for Computing a B-Stationary Point of a Mathematical Program with Linear Complementarity Constraints

We consider a mathematical program with a smooth objective function and linear inequality/complementarity constraints. We propose an ε-active set algorithm which, under a uniform LICQ on the ε-feasible set, generates iterates whose cluster points are B-stationary points of the problem. If the objective function is quadratic and ε is set to zero, the algorithm terminates finitely. Some numerical experience with the algorithm is reported. An erratum to this article has been appended at the end of the pdf file.