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A SNCP Method for Solving Equilibrium Problems with Equilibrium Constraints

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  • Che-Lin Su

Abstract

This paper studies algorithms for equilibrium problems with equilibrium constraints (EPECs). We present a generalization of Scholtes’s regularization scheme for MPECs and extend his convergence results to this new relaxation method. We propose a sequential nonlinear complementarity (SNCP) algorithm to solve EPECs and establish the convergence of this algorithm. We present numerical results comparing the SNCP algorithm and diagonalization (nonlinear Gauss- Seidel and nonlinear Jacobi) methods on randomly generated EPEC test problems. The computational experience to date shows that both the SNCP algorithm and the nonlinear Gauss-Seidel method outperform the nonlinear Jacobi method

Suggested Citation

  • Che-Lin Su, 2005. "A SNCP Method for Solving Equilibrium Problems with Equilibrium Constraints," Computing in Economics and Finance 2005 150, Society for Computational Economics.
  • Handle: RePEc:sce:scecf5:150
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    File URL: http://www.stanford.edu/~clsu/epec-algo.pdf
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    References listed on IDEAS

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    1. Berry, Carolyn A. & Hobbs, Benjamin F. & Meroney, William A. & O'Neill, Richard P. & StewartJr, William R., 1999. "Understanding how market power can arise in network competition: a game theoretic approach," Utilities Policy, Elsevier, vol. 8(3), pages 139-158, September.
    2. Cardell, Judith B. & Hitt, Carrie Cullen & Hogan, William W., 1997. "Market power and strategic interaction in electricity networks," Resource and Energy Economics, Elsevier, vol. 19(1-2), pages 109-137, March.
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    Cited by:

    1. Feijoo, Felipe & Das, Tapas K., 2014. "Design of Pareto optimal CO2 cap-and-trade policies for deregulated electricity networks," Applied Energy, Elsevier, vol. 119(C), pages 371-383.

    More about this item

    Keywords

    Multi-leader Multi-follower games; equilibrium problems; nonlinear complementarity problems;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

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