An entropic regularization approach for mathematical programs with equilibrium constraints
نویسندگان
چکیده
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 di9cult 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. ? 2003 Elsevier Ltd. All rights reserved.
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Entropic Regularization Approach for Mathematical Programs with Equilibrium Constraints
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عنوان ژورنال:
- Computers & OR
دوره 31 شماره
صفحات -
تاریخ انتشار 2004