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A pathsearch damped Newton method for computing general equilibria. (English) Zbl 0868.90012
Summary: 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 complementarily 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.

MSC:
91B50 General equilibrium theory
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
90-08 Computational methods for problems pertaining to operations research and mathematical programming
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