* Test problem 9.2.5 in the Test Collection Book * Test problem 9.1.5 in the web page * Test problem from Bard 91 * Note there is a typo in the Book corrected here SET i /1*5/; PARAMETER bigu; bigu = 10; VARIABLES z; POSITIVE VARIABLES x, y1, y2, s(i), lb(i); EQUATIONS ob, c1, c2, c3, c4, c5, cs1(i), kt1, kt2; * Outer Objective function ob.. - x + 10*y1 - y2 =e= z; * Inner Problem Constraints c1.. x + y1 + s('1') =e= 1; c2.. x + y2 + s('2') =e= 1; c3.. y1 + y2 + s('3') =e= 1; c4.. -y1 + s('4') =e= 0; c5.. -y2 + s('5') =e= 0; * KKT conditions for the inner problem optimum kt1.. lb('1') + lb('3') - lb('4') =e= 1; kt2.. lb('2') + lb('3') - lb('5') =e= 1; * Complementarity Constraints cs1(i).. lb(i)*s(i) =e= 0; MODEL BARD91/ALL/; SOLVE BARD91 USING NLP MINIMIZING z;