Global optimization method for solving mathematical programs with linear complemetarity constraints

Abstract. We propose a method for finding a global optimal solution of programs with linear complementarity constraints. The program arises for instance from the bilevel programs. The main idea of the method is to generate a sequence of points either ending at a global optimal solution within a finite number of iterations or converging to a global optimal solution. The construction of such a sequence is based on the techniques such as branch and bound technique, which are used successfully in global optimization. Some results on a numerical test of the algorithm are reported. 1