Motivation
A mathematical program with complementarity constraints (MPCC, also called MPEC, mathematical program with equilibrium constraints) is a nonlinear optimization problem in which some pairs of constraint functions must be nonnegative with at least one of each pair equal to zero. Such constraints model equilibria inside an optimization problem: bilevel programs whose lower level is replaced by its optimality conditions, Stackelberg games, traffic and electricity market equilibria, contact problems in mechanics. See Luo, Pang and Ralph, Mathematical Programs with Equilibrium Constraints (Cambridge University Press, 1996), doi:10.1017/CBO9780511983658.
The complementarity constraints make the standard theory fail. At every feasible point the Mangasarian–Fromovitz constraint qualification is violated, so the Karush–Kuhn–Tucker conditions are not necessary for optimality, and standard NLP solvers lose their convergence guarantees. A common remedy is relaxation: replace the MPEC by a family of ordinary nonlinear programs depending on a parameter t>0, solve them for t↓0, and study the limits of their stationary points.
The first relaxation scheme, and the reference point for all later ones, is due to Scholtes (Convergence properties of a regularization scheme for mathematical programs with complementarity constraints, SIAM J. Optim. 11 (2001), doi:10.1137/S1052623499361233). Scholtes showed that limits of stationary points of the relaxed programs are C-stationary when MPEC-LICQ holds at the limit. Hoheisel, Kanzow and Schwartz (Preprint 299, University of Würzburg, 2010; later Math. Program. 137 (2013), doi:10.1007/s10107-011-0488-5) compare five relaxation schemes and weaken the constraint qualification in each convergence theorem. For Scholtes' scheme, their Theorem 3.1 replaces MPEC-LICQ by the weaker MPEC-MFCQ. This mission formalizes that theorem.
Setting
The MPEC (1) is
minf(x) s.t. gi(x)≤0 (i≤m), hi(x)=0 (i≤p), Gi(x)≥0, Hi(x)≥0, Gi(x)Hi(x)=0 (i≤l),
with continuously differentiable f,gi,hi,Gi,Hi:Rn→R and feasible set X. For a point x∗ the paper uses the index sets Ig={i∣gi(x∗)=0}, I0+={i∣Gi(x∗)=0<Hi(x∗)}, I00={i∣Gi(x∗)=Hi(x∗)=0} and I+0={i∣Gi(x∗)>0=Hi(x∗)}.
A standard nonlinear program has constraints gi≤0, hj=0. Its point x satisfies the Mangasarian–Fromovitz constraint qualification (MFCQ) if the gradients ∇hj(x) are linearly independent and some direction d has ∇gi(x)Td<0 for all active i and ∇hj(x)Td=0 for all j. A stationary point is the x-part of a KKT point: x is feasible and there are λ≥0, μ with λigi(x)=0 and ∇f(x)+∑λi∇gi(x)+∑μj∇hj(x)=0.
The tightened program TNLP(x∗) keeps gi≤0, hi=0 and imposes Gi=0, Hi≥0 on I0+, Gi≥0, Hi=0 on I+0, and Gi=Hi=0 on I00. MPEC-MFCQ holds at x∗ if MFCQ holds at x∗ for TNLP(x∗).
A feasible x∗ is weakly stationary if there are multipliers λ∈Rm, μ∈Rp, γ,ν∈Rl with
∇f(x∗)+i=1∑mλi∇gi(x∗)+i=1∑pμi∇hi(x∗)−i=1∑lγi∇Gi(x∗)−i=1∑lνi∇Hi(x∗)=0,
λ≥0, λigi(x∗)=0, γi=0 on I+0 and νi=0 on I0+. It is C-stationary if such multipliers can be chosen with, in addition, γiνi≥0 for all i∈I00.
Scholtes' relaxed program RS(t) replaces Gi(x)Hi(x)=0 by Gi(x)Hi(x)≤t and keeps all other constraints of (1). The notation {tk}↓0 means a sequence of positive parameters decreasing to 0.
Formalization targets
Goal: Theorem 3.1
Let {tk}↓0, let xk be a stationary point of RS(tk), and let xk→x∗ with MPEC-MFCQ at x∗. Then
x∗ is a C-stationary point of the MPEC (1).
No feasibility of x∗ is assumed; it is part of the conclusion.
Milestones
- Remark 2.2: for a feasible point of a standard NLP, MFCQ holds if and only if the active inequality gradients together with all equality gradients are positive-linearly independent.
- §2.2, pp. 6–7: MPEC-MFCQ written out explicitly, i.e. linear independence of ∇hi, ∇Gi (I00∪I0+) and ∇Hi (I00∪I+0), plus a direction d.
- Proof of Theorem 3.2, p. 11: MPEC-MFCQ implies positive-linear independence of {∇gi(x∗)}Ig∪{{∇hi}∪{∇Gi}I00∪I0+∪{∇Hi}I00∪I+0}.
- Proof of Theorem 3.1, p. 9: for large k, Ig(xk)⊆Ig, IG(xk)⊆I00∪I0+, IH(xk)⊆I00∪I+0.
- Proof of Theorem 3.1, pp. 10–11: under the goal's hypotheses, x∗ is weakly stationary.
Significance
Theorem 3.1 says that Scholtes' scheme, run to the limit, produces C-stationary points under a constraint qualification strictly weaker than the one in Scholtes' original result. MPEC-MFCQ is the natural assumption here: under it the KKT multipliers of the relaxed programs need not converge, and the theorem shows that a convergent subsequence of suitably modified multipliers still exists. The result is the first of a family of convergence theorems in the paper (the schemes of Lin–Fukushima, Kadrani–Dussault–Benchakroun and Steffensen–Ulbrich follow the same pattern) and the baseline against which those schemes are compared.
The theorem is proved in the paper; it is not open. To the extent a search of the Prove2Me catalog shows, no MPEC stationarity concept, MPEC constraint qualification or relaxation result has been formalized there, and Mathlib has no theory of constraint qualifications for nonlinear programs. The mission produces a machine-checked proof of Theorem 3.1 and, along the way, reusable statements of Definition 2.1, MFCQ, KKT points and the MFCQ/positive-linear-independence equivalence for general nonlinear programs.
Difficulty
The obvious argument takes a limit of the KKT multipliers of RS(tk). That fails twice. First, under MPEC-MFCQ the multiplier sequence need not be bounded, so there may be nothing to take a limit of; boundedness has to be recovered from MPEC-MFCQ through positive-linear independence, a theorem of the alternative. Second, the multiplier δk of the product constraint GiHi≤tk multiplies Hi∇Gi+Gi∇Hi, which is not a multiplier of ∇Gi or ∇Hi alone; how it is redistributed depends on whether i lies in I0+, I+0 or I00, and the sign condition on I00 comes from the support disjointness between δk and the multipliers of Gi≥0, Hi≥0, which uses tk>0. Compactness, index-set bookkeeping along a subsequence and continuity of all gradients have to be combined.
Formalization scope
- Rn is
EuclideanSpace ℝ (Fin n), gradients are Mathlib's gradient, and ∇g(x)Td is the inner product. Constraint indices are Fin m, Fin p, Fin l (0-based); m,p,l may be 0.
- The paper's standing assumption that all data are continuously differentiable (p. 1) is the explicit hypothesis
P.IsC1 (ContDiff ℝ 1 for each function) of the goal and of milestones 4 and 5. Milestones 1–3 are pointwise linear algebra and assume no smoothness.
- "Stationary point of RS(tk)" is a KKT point of RS(tk) viewed as a standard NLP with inequality constraints gi≤0, −Gi≤0, −Hi≤0, GiHi−t≤0: feasibility, nonnegative multipliers and complementary slackness are included (p. 5).
- "{tk}↓0" is tk>0 for all k, (tk) nonincreasing, and tk→0.
- Families of gradients are indexed families (repeated vectors count as dependent); in MPEC-MFCQ an index of I00 contributes both ∇Gi and ∇Hi. TNLP(x∗) has constraints indexed by subtypes of the index sets; absent constraints are not padded by zero functions, which would make MPEC-MFCQ fail everywhere.
- Definition 2.3(a) is printed with two misprints ("μihi(x∗)", "i=1,…,l" for the complementarity of λ); the formalization uses μi∇hi(x∗) and i=1,…,m. C-stationarity requires feasibility and one multiplier tuple satisfying both the weak-stationarity conditions and the sign condition on I00.
- A "stationary point" that is merely a feasible point or a critical point of f, or a C-stationarity whose sign condition refers to multipliers other than those of the weak-stationarity equation, would make the goal false or empty; neither reading is used. The hypotheses of the goal are jointly satisfiable (checked on the paper's Example 3.6 instance).
- Infrastructure needed: theorems of the alternative (Motzkin/Farkas) for finite families in Rn, compactness of normalised multiplier sequences, continuity of gradients of C1 maps. The NLP layer (positive-linear dependence, MFCQ, KKT points, Remark 2.2) is reusable for any constraint-qualification development. Contributions of proofs of the milestones, of general NLP lemmas, and of the goal are welcome.
Selected references
- T. Hoheisel, C. Kanzow, A. Schwartz, Theoretical and numerical comparison of relaxation methods for mathematical programs with complementarity constraints, Preprint 299, Institute of Mathematics, University of Würzburg, September 2010; published in Math. Program. 137 (2013) 257–288. doi:10.1007/s10107-011-0488-5
- S. Scholtes, Convergence properties of a regularization scheme for mathematical programs with complementarity constraints, SIAM J. Optim. 11 (2001) 918–936. doi:10.1137/S1052623499361233
- Z.-Q. Luo, J.-S. Pang, D. Ralph, Mathematical Programs with Equilibrium Constraints, Cambridge University Press, 1996. doi:10.1017/CBO9780511983658