An entropic regularization approach for mathematical programs with equilibrium constraints

An entropic regularization approach for mathematical programs with equilibrium constraints

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Article ID: iaor2005748
Country: United Kingdom
Volume: 31
Issue: 13
Start Page Number: 2249
End Page Number: 2262
Publication Date: Nov 2004
Journal: Computers and Operations Research
Authors: , ,
Abstract:

A new smoothing approach based on entropic regularization is proposed for solving a mathematical program with equilibrium constraints (MPEC). With some known smoothing properties of the entropy function and keeping real practice in mind, we reformulate an MPEC problem as a smooth nonlinear programming problem. In this way, a difficult MPEC problem becomes solvable by using available nonlinear optimization software. To support our claims, we use an online solver and test the performance of the proposed approach on a set of well-known test problems.

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