Document Type
Article
Publication Title
Annals of Operations Research
Abstract
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 pathsearch damped Newton method for solving such problems. Our algorithm improves on the typical Newton method (which generates and solves a sequence of LCPs) in both speed and robustness. The underlying complementarity problem is reformulated as a normal map so that standard algorithmic enhancements 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.
First Page
211
Last Page
232
DOI
10.1007/BF02209613
Publication Date
1-1-1996
Recommended Citation
Dirkse, Steven P. and Ferris, Michael C., "A pathsearch damped Newton method for computing general equilibria" (1996). University Faculty Publications and Creative Works. 474.
https://digitalcommons.calvin.edu/calvin_facultypubs/474