Article ID: | iaor2007403 |
Country: | Netherlands |
Volume: | 34 |
Issue: | 2 |
Start Page Number: | 155 |
End Page Number: | 182 |
Publication Date: | Jun 2006 |
Journal: | Computational Optimization and Applications |
Authors: | Shanno David F., Vanderbei Robert J., Sen Arun, Benson Hande Y. |
Keywords: | programming: nonlinear |
In this paper we consider the question of solving equilibrium problems – formulated as complementarity problems and, more generally, mathematical programs with equilibrium constraints – 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 and provide substantial numerical results. We go on to show that penalty methods can resolve some problems that interior-point algorithms encounter in general.