Interior-point algorithms, penalty methods and equilibrium problems

Interior-point algorithms, penalty methods and equilibrium problems

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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: , , ,
Keywords: programming: nonlinear
Abstract:

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.

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