A SNCP Method for Solving Equilibrium Problems with Equilibrium Constraints

Che-Lin Su

No 150, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: This paper studies algorithms for equilibrium problems with equilibrium constraints (EPECs). We present a generalization of Scholtes’s regularization scheme for MPECs and extend his convergence results to this new relaxation method. We propose a sequential nonlinear complementarity (SNCP) algorithm to solve EPECs and establish the convergence of this algorithm. We present numerical results comparing the SNCP algorithm and diagonalization (nonlinear Gauss- Seidel and nonlinear Jacobi) methods on randomly generated EPEC test problems. The computational experience to date shows that both the SNCP algorithm and the nonlinear Gauss-Seidel method outperform the nonlinear Jacobi method

Keywords: Multi-leader Multi-follower games; equilibrium problems; nonlinear complementarity problems (search for similar items in EconPapers)
JEL-codes: C63 C72 (search for similar items in EconPapers)
Date: 2005-11-11
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (4)

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