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Engineering and economic applications of complementarity problems
 SIAM Review
, 1997
"... Abstract. This paper gives an extensive documentation of applications of finitedimensional nonlinear complementarity problems in engineering and equilibrium modeling. For most applications, we describe the problem briefly, state the defining equations of the model, and give functional expressions f ..."
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Cited by 127 (24 self)
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Abstract. This paper gives an extensive documentation of applications of finitedimensional nonlinear complementarity problems in engineering and equilibrium modeling. For most applications, we describe the problem briefly, state the defining equations of the model, and give functional expressions for the complementarity formulations. The goal of this documentation is threefold: (i) to summarize the essential applications of the nonlinear complementarity problem known to date, (ii) to provide a basis for the continued research on the nonlinear complementarity problem, and (iii) to supply a broad collection of realistic complementarity problems for use in algorithmic experimentation and other studies.
A Semismooth Equation Approach To The Solution Of Nonlinear Complementarity Problems
, 1995
"... In this paper we present a new algorithm for the solution of nonlinear complementarity problems. The algorithm is based on a semismooth equation reformulation of the complementarity problem. We exploit the recent extension of Newton's method to semismooth systems of equations and the fact that the n ..."
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Cited by 79 (9 self)
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In this paper we present a new algorithm for the solution of nonlinear complementarity problems. The algorithm is based on a semismooth equation reformulation of the complementarity problem. We exploit the recent extension of Newton's method to semismooth systems of equations and the fact that the natural merit function associated to the equation reformulation is continuously differentiable to develop an algorithm whose global and quadratic convergence properties can be established under very mild assumptions. Other interesting features of the new algorithm are an extreme simplicity along with a low computational burden per iteration. We include numerical tests which show the viability of the approach.
Interfaces to PATH 3.0: Design, Implementation and Usage
 Computational Optimization and Applications
, 1998
"... Several new interfaces have recently been developed requiring PATH to solve a mixed complementarity problem. To overcome the necessity of maintaining a different version of PATH for each interface, the code was reorganized using objectoriented design techniques. At the same time, robustness issues ..."
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Cited by 48 (17 self)
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Several new interfaces have recently been developed requiring PATH to solve a mixed complementarity problem. To overcome the necessity of maintaining a different version of PATH for each interface, the code was reorganized using objectoriented design techniques. At the same time, robustness issues were considered and enhancements made to the algorithm. In this paper, we document the external interfaces to the PATH code and describe some of the new utilities using PATH. We then discuss the enhancements made and compare the results obtained from PATH 2.9 to the new version. 1 Introduction The PATH solver [12] for mixed complementarity problems (MCPs) was introduced in 1995 and has since become the standard against which new MCP solvers are compared. However, the main user group for PATH continues to be economists using the MPSGE preprocessor [36]. While developing the new PATH implementation, we had two goals: to make the solver accessible to a broad audience and to improve the effecti...
A Globally Convergent Successive Approximation Method for Severely Nonsmooth Equations
 SIAM J. Control Optim
, 1995
"... . This paper presents a globally convergent successive approximation method for solving F (x) = 0 where F is a continuous function. At each step of the method, F is approximated by a smooth function f k ; with k f k \Gamma F k! 0 as k ! 1. The direction \Gammaf 0 k (x k ) \Gamma1 F (x k ) is th ..."
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Cited by 40 (21 self)
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. This paper presents a globally convergent successive approximation method for solving F (x) = 0 where F is a continuous function. At each step of the method, F is approximated by a smooth function f k ; with k f k \Gamma F k! 0 as k ! 1. The direction \Gammaf 0 k (x k ) \Gamma1 F (x k ) is then used in a line search on a sum of squares objective. The approximate function f k can be constructed for nonsmooth equations arising from variational inequalities, maximal monotone operator problems, nonlinear complementarity problems and nonsmooth partial differential equations. Numerical examples are given to illustrate the method. Key words: Global convergence, successive approximation, integration convolution. AMS(MOS) subject classification. 90C30, 90C33 1. Introduction Let F : R n ! R n be a continuous, but not necessarily differentiable, function. We consider the system of nonlinear equations F (x) = 0; x 2 R n : (1) The recent literature of such nonsmooth equations inc...
Global and superlinear convergence of the smoothing Newton method and its application to general box constrained variational inequalities
 Mathematics of Computation
, 1998
"... Abstract. The smoothing Newton method for solving a system of nonsmooth equations F (x) = 0, which may arise from the nonlinear complementarity problem, the variational inequality problem or other problems, can be regarded as a variant of the smoothing method. At the kth step, the nonsmooth functio ..."
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Cited by 34 (16 self)
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Abstract. The smoothing Newton method for solving a system of nonsmooth equations F (x) = 0, which may arise from the nonlinear complementarity problem, the variational inequality problem or other problems, can be regarded as a variant of the smoothing method. At the kth step, the nonsmooth function F is approximated by a smooth function f(·,εk), and the derivative of f(·,εk) at x k is used as the Newton iterative matrix. The merits of smoothing methods and smoothing Newton methods are global convergence and convenience in handling. In this paper, we show that the smoothing Newton method is also superlinearly convergent if F is semismooth at the solution and f satisfies a Jacobian consistency property. We show that most common smooth functions, such as the GabrielMoré function, have this property. As an application, we show that for box constrained variational inequalities if the involved function is P –uniform, the iteration sequence generated by the smoothing Newton method will converge to the unique solution of the problem globally and superlinearly (quadratically). 1.
Smoothing Methods and Semismooth Methods for Nondifferentiable Operator Equations
 SIAM J. Numer. Anal
, 1999
"... . We consider superlinearly convergent analogues of Newton methods for nondifferentiable operator equations in function spaces. The superlinear convergence analysis of semismooth methods for nondifferentiable equations described by defining a locally Lipschitzian operator in R n is based on Radema ..."
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Cited by 25 (1 self)
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. We consider superlinearly convergent analogues of Newton methods for nondifferentiable operator equations in function spaces. The superlinear convergence analysis of semismooth methods for nondifferentiable equations described by defining a locally Lipschitzian operator in R n is based on Rademacher's theorem which does not hold in function spaces. We introduce a concept of slant differentiability and use it to study superlinear convergence of smoothing methods and semismooth methods in a unified framework. We show that a function is slantly differentiable at a point if and only if it is Lipschitz continuous at that point. An application to the Dirichlet problems for a simple class of nonsmooth elliptic partial differential equations is discussed. Key words. Smoothing methods, semismooth methods, superlinear convergence, nondifferentiable operator equation, nonsmooth elliptic partial differential equations. AMS subject classifications. 65J15, 65H10, 65J20. 1. Introduction. This p...
Inexact Newton Methods for Solving Nonsmooth Equations
 Journal of Computational and Applied Mathematics
, 1999
"... This paper investigates inexact Newton methods for solving systems of nonsmooth equations. We define two inexact Newton methods for locally Lipschitz functions and we prove local (linear and superlinear) convergence results under the assumptions of semismoothness and BDregularity at the solution. W ..."
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Cited by 24 (9 self)
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This paper investigates inexact Newton methods for solving systems of nonsmooth equations. We define two inexact Newton methods for locally Lipschitz functions and we prove local (linear and superlinear) convergence results under the assumptions of semismoothness and BDregularity at the solution. We introduce a globally convergent inexact iteration function based method. We discuss implementations and we give some numerical examples.
On HomotopySmoothing Methods for Variational Inequalities
"... A variational inequality problem with a mapping g : ! n ! ! n and lower and upper bounds on variables can be reformulated as a system of nonsmooth equations F (x) = 0 in ! n . Recently, several homotopy methods, such as interiorpoint and smoothing methods, have been employed to solve the prob ..."
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Cited by 23 (5 self)
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A variational inequality problem with a mapping g : ! n ! ! n and lower and upper bounds on variables can be reformulated as a system of nonsmooth equations F (x) = 0 in ! n . Recently, several homotopy methods, such as interiorpoint and smoothing methods, have been employed to solve the problem. All of these methods use parametric functions and construct perturbed equations to approximate the problem. The solution to the perturbed system constitutes a smooth trajectory leading to the solution of the original variational inequality problem. The methods generate iterates to follow the trajectory. Among these methods ChenMangasarian and GabrielMor'e proposed a class of smooth functions to approximate F . In this paper, we study several properties of the trajectory defined by solutions of these smooth systems. We propose a homotopysmoothing method for solving the variational inequality problem, and show that the method converges globally and superlinearly under mild conditions. ...
A Pathsearch Damped Newton Method for Computing General Equilibria
 Annals of Operations Research
, 1994
"... Computable general equilibrium models and other types of variational inequalities play a key role in computational economics. This paper describes the design and implementation of a pathsearchdamped Newton method for solving such problems. Our algorithm improves on the typical Newton method (which ..."
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Cited by 17 (10 self)
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Computable general equilibrium models and other types of variational inequalities play a key role in computational economics. This paper describes the design and implementation of a pathsearchdamped Newton method for solving such problems. Our algorithm improves on the typical Newton method (which generates and solves a sequence of LCP's) in both speed and robustness. The underlying complementarity problem is reformulated as a normal map so that standard algorithmic enchancements of Newton's method for solving nonlinear equations can be easily applied. The solver is implemented as a GAMS subsystem, using an interface library developed for this purpose. Computational results obtained from a number of test problems arising in economics are given.
Complementarity Problems in GAMS and the PATH Solver
 Journal of Economic Dynamics and Control
, 1998
"... A fundamental mathematical problem is to find a solution to a square system of nonlinear equations. There are many methods to approach this problem, the most famous of which is Newton's method. In this paper, we describe a generalization of this problem, the complementarity problem. We show how such ..."
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Cited by 17 (6 self)
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A fundamental mathematical problem is to find a solution to a square system of nonlinear equations. There are many methods to approach this problem, the most famous of which is Newton's method. In this paper, we describe a generalization of this problem, the complementarity problem. We show how such problems are modeled within the GAMS modeling language and provide details about the PATH solver, a generalization of Newton's method, for finding a solution. While the modeling format is applicable in many disciplines, we draw the examples in this paper from an economic background. Finally, some extensions of the modeling format and the solver are described. Keywords: Complementarity problems, variational inequalities, algorithms AMS Classification: 90C33,65K10 This paper is an extended version of a talk presented at CEFES '98 (Computation in Economics, Finance and Engineering: Economic Systems) in Cambridge, England in July 1998 This material is based on research supported by Nationa...