An entropic regularization approach for mathematical programs with equilibrium constraints

Authors:
Ş. Ilker Birbil;Shu-Cherng Fang;Jiye Han
Affiliations:
Erasmus Research Institute of Management, Erasmus University Rotterdam, Postbus 1738, 3000 DR Rotterdam, The Netherlands;Industrial Engineering and Operations Research, North Carolina State University, Raleigh, NC;Institute of Applied Mathematics, Chinese Academy of Sciences, Beijing, People's Republic of China
Venue:
Computers and Operations Research
Year:
2004

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Abstract

A new smoothing approach based on entropic regularization is proposed for solving a mathematical program with equilibrium constraints (MPEC). With some known smoothing properties of the entropy function and keeping real practice in mind, we reformulate an MPEC problem as a smooth nonlinear programming problem. In this way, a difficult MPEC problem becomes solvable by using available nonlinear optimization software. To support our claims, we use an online solver and test the performance of the proposed approach on a set of well-known test problems.