Optimization with Parametric Variational Inequality Constraints on a Moving Set Based on a Smoothing Method

Abstract

This paper focuses on optimization problems constrained by Parametric Variational Inequalities (PVI) defined on a moving set. Unlike most existing works on mathematical programs with equilibrium constraints, the equilibrium constraints have parameters not only in the function but also in the related set. We show that the solution function of the PVI is Lipschitz continuous with respect to the upper-level decision variables and the solution set of the optimization problem is nonempty and bounded. Moreover, we prove that the metric regularity of the constraints holds automatically, which allows us to characterize stationary points without any additional assumptions. A Smoothing Implicit Gradient Algorithm (SIGA) is proposed based on the smoothing approximation of the PVI with a novel scheme for updating the smoothing parameter. We prove the convergence of SIGA to a stationary point and validate the efficiency of SIGA by numerical examples from synthetic problems and portfolio management with real data.