* Test problem 9.2.3 in the Test Collection Book * Test problem 9.1.2 in the web page * Test problem from Liu and Hart 1994 SET i /1*4/; PARAMETER bigu; bigu = 10; VARIABLES z; POSITIVE VARIABLES x, y, s(i), lb(i); BINARY VARIABLES yb(i); EQUATIONS c1, c2, c3, c4, c5, cs1(i), kt1; * Outer Objective function c1.. - x -3*y =e= z; * Inner Problem Constraints c2.. - x + y + s('1') =e= 3; c3.. x + 2*y + s('2') =e= 12; c4.. 4*x - y + s('3') =e= 12; c5.. -y + s('4') =e= 0; * KKT conditions for the inner problem optimum kt1.. lb('1') + 2*lb('2') - lb('3') - lb('4') =e= -1; * Complementarity Constraints cs1(i).. lb(i)*s(i) =e= 0; MODEL LIU/ALL/; SOLVE LIU USING NLP MINIMIZING z;