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Entropic Regularization Approach for Mathematical Programs with Equilibrium Constraints

Author

Listed:
  • Birbil, S.I.
  • Fang, S-C.
  • Han, J.

Abstract

A new smoothing approach based on entropic perturbation is proposed for solving mathematical programs with equilibrium constraints. Some of the desirable properties of the smoothing function are shown. The viability of the proposed approach is supported by a computationalstudy on a set of well-known test problems.

Suggested Citation

  • Birbil, S.I. & Fang, S-C. & Han, J., 2002. "Entropic Regularization Approach for Mathematical Programs with Equilibrium Constraints," ERIM Report Series Research in Management ERS-2002-71-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    • Handle: RePEc:ems:eureri:224
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    File URL: https://repub.eur.nl/pub/224/ERS-2002-71-LIS.pdf
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    References listed on IDEAS

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    1. Chaisak Suwansirikul & Terry L. Friesz & Roger L. Tobin, 1987. "Equilibrium Decomposed Optimization: A Heuristic for the Continuous Equilibrium Network Design Problem," Transportation Science, INFORMS, vol. 21(4), pages 254-263, November.
    2. Xing-Si Li & Shu-Cherng Fang, 1997. "On the entropic regularization method for solving min-max problems with applications," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 46(1), pages 119-130, February.
    3. Harker, Patrick T., 1991. "Generalized Nash games and quasi-variational inequalities," European Journal of Operational Research, Elsevier, vol. 54(1), pages 81-94, September.
    4. Terry L. Friesz & Hsun-Jung Cho & Nihal J. Mehta & Roger L. Tobin & G. Anandalingam, 1992. "A Simulated Annealing Approach to the Network Design Problem with Variational Inequality Constraints," Transportation Science, INFORMS, vol. 26(1), pages 18-26, February.
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    More about this item

    Keywords

    entropic regularization; mathematical programs with equilibrium constraints; smoothing approach;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
    • M11 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Production Management
    • R4 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics

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