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Solving equilibrium problems using extended mathematical programming

  • Youngdae KimEmail author
  • Michael C. Ferris
Full Length Paper
  • 84 Downloads

Abstract

We introduce an extended mathematical programming framework for specifying equilibrium problems and their variational representations, such as generalized Nash equilibrium, multiple optimization problems with equilibrium constraints, and (quasi-) variational inequalities, and computing solutions of them from modeling languages. We define a new set of constructs with which users annotate variables and equations of the model to describe equilibrium and variational problems. Our constructs enable a natural translation of the model from one formulation to another more computationally tractable form without requiring the modeler to supply derivatives. In the context of many independent agents in the equilibrium, we facilitate expression of sophisticated structures such as shared constraints and additional constraints on their solutions. We define shared variables and demonstrate their uses for sparse reformulation, economic equilibrium problems sharing economic states, mixed pricing behavior of agents, and so on. We give some equilibrium and variational examples from the literature and describe how to formulate them using our framework. Experimental results comparing performance of various complementarity formulations for shared variables are provided. Our framework has been implemented and is available within GAMS/EMP.

Keywords

Equilibrium programming Nash equilibrium problems Quasi-variational inequalities 

Mathematics Subject Classification

90C33 90C90 65K10 65K15 

Notes

Acknowledgements

This material is based upon work supported by the U.S. Department of Energy, Office of Science, Office of Advanced Scientific Computing Research, Applied Mathematics program under contract number DE-AC02-06CH11357.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society 2019

Authors and Affiliations

  1. 1.Mathematics and Computer Science DivisionArgonne National LaboratoryLemontUSA
  2. 2.Department of Computer Sciences and Wisconsin Institute for DiscoveryUniversity of Wisconsin-MadisonMadisonUSA

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