Solving mathematical programs with complementarity constraints arising in nonsmooth optimal control

Abstract

This paper examines solution methods for mathematical programs with complementarity constraints (MPCC) obtained from the time-discretization of optimal control problems (OCPs) subject to nonsmooth dynamical systems. The MPCC theory and stationarity concepts are reviewed and summarized. The focus is on relaxation-based methods for MPCCs, which solve a (finite) sequence of more regular nonlinear programs (NLP), where a regularization/homotopy parameter is driven to zero. Such methods perform reasonably well on currently available benchmarks. However, these results do not always generalize to MPCCs obtained from nonsmooth OCPs. To provide a more complete picture, this paper introduces a novel benchmark collection of such problems, which we call nosbench. The problem set includes 603 different MPCCs and we split it into a few representative subsets to accelerate the testing. We compare different relaxation-based methods, NLP solvers, homotopy parameter update and relaxation parameter steering strategies. Moreover, we check whether the obtained stationary points allow first-order descent directions, which may be the case for some of the weaker MPCC stationarity concepts. In the best case, the Scholtes' relaxation [Scholtes, 2002] with IPOPT [W\"achter and Biegler, 2006] as NLP solver manages to solve 73.8 % of the problems. This highlights the need for further improvements in algorithms and software for MPCCs.