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A pathsearch damped Newton method for computing general equilibria
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DOI：10.1007/BF02209613.png)
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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.
Keyword:
complementarity problems
computable general equilibria
pathsearch
Newton-type algorithms
期刊
IF:
4.5
论文数:
8.0K
被引数:
2.1W
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