Computational Optimization and Applications

, Volume 34, Issue 2, pp 155–182

Interior-Point Algorithms, Penalty Methods and Equilibrium Problems

Authors

    • Decision Sciences DepartmentLeBow College of Business, Drexel University
  • Arun Sen
    • Department of Operations Research and Financial EngineeringPrinceton University
  • David F. Shanno
    • RUTCOR - Rutgers Center of Operations ResearchRutgers University
  • Robert J. Vanderbei
    • Department of Operations Research and Financial EngineeringPrinceton University
Article

DOI: 10.1007/s10589-005-3908-8

Cite this article as:
Benson, H.Y., Sen, A., Shanno, D.F. et al. Comput Optim Applic (2006) 34: 155. doi:10.1007/s10589-005-3908-8

Abstract

In this paper we consider the question of solving equilibrium problems—formulated as complementarity problems and, more generally, mathematical programs with equilibrium constraints (MPECs)—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 and provide substantial numerical results. We go on to show that penalty methods can resolve some problems that interior-point algorithms encounter in general.

Keywords

interior-point methodsnonlinear programmingpenalty methodsequilibrium problemscomplementarity

Copyright information

© Springer Science + Business Media, Inc. 2006