Entropic Regularization Approach for Mathematical Programs with Equilibrium Constraints

Ilker Birbil, Shu-Cherng Fang and J. Han

ERIM Report Series Research in Management from 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

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.

Keywords: entropic regularization; mathematical programs with equilibrium constraints; smoothing approach (search for similar items in EconPapers)
JEL-codes: C61 C62 M M11 R4 (search for similar items in EconPapers)
Date: 2002-09-13
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