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: | Han Jiye, Fang Shu-Cherng, Birbil . lker |
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.