equilibrium problems

Interior-Point Algorithms, Penalty Methods and Equilibrium Problems

  • Hande Benson
  • Arun Sen
  • David F. Shanno
  • Robert J. Vanderbei
    • Categories Complementarity and Variational Inequalities, Constrained Nonlinear Optimization, Game Theory Tags , , , ,

    In this paper we consider the question of solving equilibrium problems—formulated as complementarity problems and, more generally, mathematical programs with equilibrium constraints (MPEC’s)—as nonlinear programs, using an interior-point approach. These problems pose theoretical difficulties for nonlinear solvers, including interior-point methods. We examine the use of penalty methods to get around these difficulties, present an example … Read more