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Mathematical Programs with Vanishing Constraints: Optimality Conditions, Sensitivity, and a Relaxation Method

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Abstract

We consider a class of optimization problems with switch-off/switch-on constraints, which is a relatively new problem model. The specificity of this model is that it contains constraints that are being imposed (switched on) at some points of the feasible region, while being disregarded (switched off) at other points. This seems to be a potentially useful modeling paradigm, that has been shown to be helpful, for example, in optimal topology design. The fact that some constraints “vanish” from the problem at certain points, gave rise to the name of mathematical programs with vanishing constraints (MPVC). It turns out that such problems are usually degenerate at a solution, but are structurally different from the related class of mathematical programs with complementarity constraints (MPCC). In this paper, we first discuss some known first- and second-order necessary optimality conditions for MPVC, giving new very short and direct justifications. We then derive some new special second-order sufficient optimality conditions for these problems and show that, quite remarkably, these conditions are actually equivalent to the classical/standard second-order sufficient conditions in optimization. We also provide a sensitivity analysis for MPVC. Finally, a relaxation method is proposed. For this method, we analyze constraints regularity and boundedness of the Lagrange multipliers in the relaxed subproblems, derive a sufficient condition for local uniqueness of solutions of subproblems, and give convergence estimates.

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Authors and Affiliations

  1. Faculty of Computational Mathematics and Cybernetics, Department of Operations Research, Moscow State University, Leninskiye Gori, GSP-2, 119992, Moscow, Russia

    A. F. Izmailov

  2. IMPA—Instituto de Matemática Pura e Aplicada, Estrada Dona Castorina 110, Jardim Botânico, Rio de Janeiro, RJ, 22460-320, Brazil

    M. V. Solodov

Authors
  1. A. F. Izmailov
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  2. M. V. Solodov
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Correspondence to M. V. Solodov.

Additional information

Communicated by B.T. Polyak.

Research of the first author was supported by the Russian Foundation for Basic Research Grants 07-01-00270, 07-01-00416 and 07-01-90102-Mong, and by RF President’s Grant NS-9344.2006.1 for the support of leading scientific schools. The second author was supported in part by CNPq Grants 301508/2005-4, 490200/2005-2 and 550317/2005-8, by PRONEX-Optimization, and by FAPERJ.

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Izmailov, A.F., Solodov, M.V. Mathematical Programs with Vanishing Constraints: Optimality Conditions, Sensitivity, and a Relaxation Method. J Optim Theory Appl 142, 501–532 (2009). https://doi.org/10.1007/s10957-009-9517-4

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