Collaborative Research: Binary Constrained Convex Quadratic Programs with Complementarity Constraints and Extensions

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The objective of this collaborative research project is to undertake an in-depth study of the class of binary-constrained (BC), mathematical programs with complementarity constraints (MPCCs). Such programs form a broad class of constrained optimization problems with binary variables where some of the constraints are described by the disjunctive condition of complementarity. The latter features arise from a number of applied problems where the discrete variables are used to model binary decisions and the complementarity constraints are the result of some lower-level optimality or equilibrium conditions. Building on recent advances in the global resolution of linear programs with linear complementarity constraints (LPCCs) and their extensions to problems with convex quadratic objective functions (QPCCs), both with continuous variables only, this investigation will initially develop efficient solution methods for the global resolution of binary-constrained LPCCs and QPCCs. Extensions of the proposed methodology to the broader class of binary-constrained convex mathematical programs with complementarity constraints will be the second phase of the investigation.If successful, the results of this research will lead to improved understanding of such problems as optimal plant location in competitive markets, discrete-choice portfolio selection under risk, classification in medical decision making, and compressed sensing in signal and image processing, as well as many related applications in complex engineering and economic systems involving hierarchical decision making with logical constraints. Computational advances from diverse areas of optimization need to be integrated in order to effectively handle the discrete and continuous features of the problems under consideration. The integration of such subdomains of optimization and the expected theoretical advances in understanding the intrinsic properties of this new class of optimization problems form the intellectual core of the proposed project.