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Interior-Point Algorithms, Penalty Methods and Equilibrium Problems

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An Erratum to this article was published on 14 August 2006

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.

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Authors and Affiliations

  1. Decision Sciences Department, LeBow College of Business, Drexel University, Philadelphia, PA, 19104

    Hande Y. Benson

  2. Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ, 08544

    Arun Sen & Robert J. Vanderbei

  3. RUTCOR - Rutgers Center of Operations Research, Rutgers University, New Brunswick, NJ, 08903

    David F. Shanno

Authors
  1. Hande Y. Benson
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  2. Arun Sen
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  3. David F. Shanno
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  4. Robert J. Vanderbei
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Corresponding author

Correspondence to Hande Y. Benson.

Additional information

An erratum to this article is available at http://dx.doi.org/10.1007/s10589-006-9594-3.

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Benson, H.Y., Sen, A., Shanno, D.F. et al. Interior-Point Algorithms, Penalty Methods and Equilibrium Problems. Comput Optim Applic 34, 155–182 (2006). https://doi.org/10.1007/s10589-005-3908-8

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  • DOI: https://doi.org/10.1007/s10589-005-3908-8

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