Indexed by:期刊论文

First Author:Zhu, Zhichuan

Correspondence Author:Zhu, ZC (reprint author), Northeast Normal Univ, Sch Math & Stat, Changchun 130024, Jilin, Peoples R China.; Zhu, ZC (reprint author), Jilin Univ Finance & Econ, Fac Stat, Changchun 130117, Jilin, Peoples R China.

Co-author:Yu, Bo

Date of Publication:2017-02-01

Journal:OPTIMIZATION METHODS & SOFTWARE

Included Journals:SCIE、EI、SSCI、Scopus

Volume:32

Issue:1

Page Number:69-85

ISSN No.:1055-6788

Key Words:principal-agent model; homotopy algorithm; bilevel programming; non-convex programming

Abstract:In this paper, a constraint set swelling homotopy (CSSH) algorithm for solving the single-level non-convex programming problem with designing piecewise linear contractual function which is equivalent to the principal-agent model with integral operator is proposed, and the existence and global convergence is proven under some mild conditions. As a comparison, a piecewise constant contract is also designed for solving the single-level non-convex programming problem with the corresponding discrete distributions. And some numerical tests are done by the proposed homotopy algorithm as well as by using fmincon in Matlab, LOQO and MINOS. The numerical results show that the CSSH algorithm is robust, feasible and effective.