The path following algorithm for stationary point problems on polyhedral cones

The path following algorithm for stationary point problems on polyhedral cones

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Article ID: iaor19891122
Country: Japan
Volume: 32
Issue: 3
Start Page Number: 286
End Page Number: 309
Publication Date: Sep 1989
Journal: Journal of the Operations Research Society of Japan
Authors: ,
Keywords: game theory, economics
Abstract:

Given a set ¦[ of Rn and a function f:¦[⇒Rn the problem of finding a point sx∈¦[ such that (x-xs)tf(xs)∈0 for any x∈¦[ is referred to as a stationary point problem and xs is called a stationary point. For the problem with conical ¦[ and strongly copositive f the authors propose a system of equations whose solution set contains a path connecting a trivial starting point to a stationary point. They also develop an algorithm to trace the path when f is an affine function with a copositive plus matrix. Starting with an appropriate point the algorithm provides a stationary point or shows that there exist no stationary points.

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