659 research outputs found
Mathematical programs with equilibrium constraints: automatic reformulation and solution via constrained optimization
Constrained optimization has been extensively used to solve many large scale deterministic problems arising in economics, including, for example, square systems of equations and nonlinear programs. A separate set of models have been generated more recently, using complementarity to model various phenomenon, particularly in general equilibria. The unifying framework of mathematical programs with equilibrium constraints (MPEC) has been postulated for problems that combine facets of optimization and complementarity. This paper briefly reviews some methods available to solve these problems and described a new suite of tools for working with MPEC models. Computational results demonstrating the potential of this tool are given that automatically construct and solve a variety of different nonlinear programming reformulations of MPEC problems.\ud
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This material is based on research partially supported by the National Science Foundation Grant CCR-9972372, the Air Force Office of Scientific Research Grant F49620-01-1-0040, Microsoft Corporation and the Guggenheim Foundation
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Reformulations of mathematical programming problems as linear complementarity problems
A family of complementarity problems are defined as extensions of the well known Linear Complementarity Problem (LCP). These are
(i.) Second Linear Complementarity Problem (SLCP) which is an LCP extended by introducing further equality restrictions and unrestricted variables,
(ii.) Minimum Linear Complementarity Problem (MLCP) which is an
LCP with additional variables not required to be complementary and with a linear objective function which is to be minimized,
(iii.) Second Minimum Linear Complementarity Problem (SMLCP) which is an MLCP but the nonnegative restriction on one of each pair of complementary variables is relaxed so that it is allowed to be unrestricted in value.
A number of well known mathematical programming problems, namely quadratic programming (convex, nonconvex, pseudoconvex nonconvex), bilinear programming, game theory, zero-one integer programming, the fixed charge problem, absolute value programming, variable separable programming are reformulated as members of this family of four complementarity problems
Bad semidefinite programs: they all look the same
Conic linear programs, among them semidefinite programs, often behave
pathologically: the optimal values of the primal and dual programs may differ,
and may not be attained. We present a novel analysis of these pathological
behaviors. We call a conic linear system {\em badly behaved} if the
value of is finite but the dual program has no
solution with the same value for {\em some} We describe simple and
intuitive geometric characterizations of badly behaved conic linear systems.
Our main motivation is the striking similarity of badly behaved semidefinite
systems in the literature; we characterize such systems by certain {\em
excluded matrices}, which are easy to spot in all published examples.
We show how to transform semidefinite systems into a canonical form, which
allows us to easily verify whether they are badly behaved. We prove several
other structural results about badly behaved semidefinite systems; for example,
we show that they are in in the real number model of computing.
As a byproduct, we prove that all linear maps that act on symmetric matrices
can be brought into a canonical form; this canonical form allows us to easily
check whether the image of the semidefinite cone under the given linear map is
closed.Comment: For some reason, the intended changes between versions 4 and 5 did
not take effect, so versions 4 and 5 are the same. So version 6 is the final
version. The only difference between version 4 and version 6 is that 2 typos
were fixed: in the last displayed formula on page 6, "7" was replaced by "1";
and in the 4th displayed formula on page 12 "A_1 - A_2 - A_3" was replaced by
"A_3 - A_2 - A_1
Linear complementarity problems on extended second order cones
In this paper, we study the linear complementarity problems on extended
second order cones. We convert a linear complementarity problem on an extended
second order cone into a mixed complementarity problem on the non-negative
orthant. We state necessary and sufficient conditions for a point to be a
solution of the converted problem. We also present solution strategies for this
problem, such as the Newton method and Levenberg-Marquardt algorithm. Finally,
we present some numerical examples
A novel approach for bilevel programs based on Wolfe duality
This paper considers a bilevel program, which has many applications in
practice. To develop effective numerical algorithms, it is generally necessary
to transform the bilevel program into a single-level optimization problem. The
most popular approach is to replace the lower-level program by its KKT
conditions and then the bilevel program can be reformulated as a mathematical
program with equilibrium constraints (MPEC for short). However, since the MPEC
does not satisfy the Mangasarian-Fromovitz constraint qualification at any
feasible point, the well-developed nonlinear programming theory cannot be
applied to MPECs directly. In this paper, we apply the Wolfe duality to show
that, under very mild conditions, the bilevel program is equivalent to a new
single-level reformulation (WDP for short) in the globally and locally optimal
sense. We give an example to show that, unlike the MPEC reformulation, WDP may
satisfy the Mangasarian-Fromovitz constraint qualification at its feasible
points. We give some properties of the WDP reformulation and the relations
between the WDP and MPEC reformulations. We further propose a relaxation method
for solving WDP and investigate its limiting behavior. Comprehensive numerical
experiments indicate that, although solving WDP directly does not perform very
well in our tests, the relaxation method based on the WDP reformulation is
quite efficient
A Prescriptive Trilevel Equilibrium Model for Optimal Emissions Pricing and Sustainable Energy Systems Development
We explore the class of trilevel equilibrium problems with a focus on
energy-environmental applications. In particular, we apply this trilevel
framework to a power market model, exploring the possibilities of an
international policymaker in reducing emissions of the system. We present two
alternative solution methods for such problems and a comparison of the
resulting model sizes. The first method is based on a reformulation of the
bottom-level solution set, and the second one uses strong duality. The first
approach results in optimality conditions that are both necessary and
sufficient, while the second one results in a model with fewer constraints but
only sufficient optimality conditions. Using the proposed methods, we are able
to obtain globally optimal solutions for a realistic five-node case study
representing the Nordic countries and assess the impact of a carbon tax on the
electricity production portfolio.Comment: 21 pages, 5 figure
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