* Test problem 9.2.2 in the Test Collection Book * Test problem 9.1.1 in the web page * Test problem from Clark and Westerberg 1990 SET i /1*5/; PARAMETER bigu; bigu = 10; VARIABLES y1, y2, z; POSITIVE VARIABLES x, s(i), lb(i); EQUATIONS ob, c1, c2, c3, c4, c5, cs(i), kt1, kt2; * Outer Objective function ob.. - x - 3*y1 + 2*y2 =e= z; * Inner Problem Constraints c1.. -2*x + y1 + 4*y2 + s('1') =e= 16; c2.. 8*x + 3*y1 - 2*y2 + s('2') =e= 48; c3.. -2*x + y1 - 3*y2 + s('3') =e= -12; c4.. - y1 + s('4') =e= 0; c5.. y1 + s('5') =e= 4; * KKT conditions for the inner problem optimum kt1.. -1 + lb('1') + 3*lb('2') + lb('3') - lb('4') + lb('5') =e= 0; kt2.. 4*lb('2') - 2*lb('2') - 3*lb('3') =e= 0; * Complementarity Constraints cs(i).. lb(i)*s(i) =e= 0; MODEL CW90/ALL/; SOLVE CW90 USING NLP MINIMIZING z;