Interior-Point Algorithms, Penalty Methods and Equilibrium Problems
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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.
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- Interior-Point Algorithms, Penalty Methods and Equilibrium Problems
Computational Optimization and Applications
Volume 34, Issue 2 , pp 155-182
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- Kluwer Academic Publishers
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- interior-point methods
- nonlinear programming
- penalty methods
- equilibrium problems
- Industry Sectors
- Author Affiliations
- 1. Decision Sciences Department, LeBow College of Business, Drexel University, Philadelphia, PA, 19104
- 2. Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ, 08544
- 3. RUTCOR - Rutgers Center of Operations Research, Rutgers University, New Brunswick, NJ, 08903