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论文类型：期刊论文

发表时间：2017-02-01

发表刊物：OPTIMIZATION METHODS & SOFTWARE

收录刊物：SCIE、EI、SSCI、Scopus

卷号：32

期号：1

页面范围：69-85

ISSN号：1055-6788

关键字：principal-agent model; homotopy algorithm; bilevel programming; non-convex programming

摘要：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.