Active set algorithm for mathematical programs with linear complementarity constraints

In the paper, an incomplete active set algorithm is given for mathematical programs with linear complementarity constraints (MPLCC). At each iteration, a finite number of inner‐iterations are contained for approximately solving the relaxed nonlinear optimization problem. If the feasible region of the MPLCC is bounded, under the uniform linear independence constraint qualification (LICQ), any cluster point of the sequence generated from the algorithm is a B‐stationary point of the MPLCC. Preliminary numerical tests show that the algorithm is promising.