We propose a new method for mathematical programs with complementarity constraints that is globally convergent to B-stationary points. The method solves a linear program with complementarity constraints to obtain an estimate of the active set. It then fixes the activities and solves an equality-constrained quadratic program to obtain fast convergence. The method uses a filter to promote global convergence. We establish convergence to B-stationary points.

%8 09/2007 %G eng %1 http://www.mcs.anl.gov/papers/P1457.pdf