Interior-Point Algorithms, Penalty Methods and Equilibrium Problems

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, present an example from game theory where this makes a difference in practice, and provide substantial numerical results. We go on to show that penalty methods can resolve some problems that interior-point algorithms encounter in general.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Aug 20, 2004
Accession Number
ADA428922

Entities

People

  • Arun Sen
  • David F. Shanno
  • Hande Y. Benson
  • Robert J. Vanderbei

Organizations

  • Drexel University

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Commerce
  • Computer Programming
  • Electronic Commerce
  • Electronic Mail
  • Engineering
  • Equations
  • Game Theory
  • Inequalities
  • Mathematical Programming
  • Mathematics
  • Nonlinear Programming
  • Operations Research
  • Optimization
  • Probability
  • Systems Engineering
  • Test Sets

Readers

  • Operations Research