[R] MCP solver

[Berend Hasselman]

On 14-10-2013, at 18:46, "Maxwell, John McFarland" <jmmaxwell at wsu.edu> wrote:

> Thanks for the response! The specific type of MCP I'm trying to solve is a square system of nonlinear equations with complementarity conditions (a computable general equilibrium model for predicting economic outcomes). The PATH solver in GAMS would certainly work for it, however as I don't have consistent access to GAMS or the PATH solver, I was hoping to find a way to run the model in R. I think the BB package could handle a system of nonlinear equations, but I'm not sure about the complementarity aspect. Is there a package that you know of that can do this?
> 

Besides BB, there is also package nleqslv which may be more suitable (it has Newton and Broyden solvers)(depending on the size of your system).
You could try a Fischer-Burmeister approach for the complementarity equations. You'ld have to do some searching on the internet to find how to do that.

Berend




> Thanks again,
> 
> JM
> 
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Hans W Borchers
> Sent: Saturday, October 12, 2013 11:32 PM
> To: r-help at stat.math.ethz.ch
> Subject: Re: [R] MCP solver
> 
> Maxwell, John McFarland <jmmaxwell <at> wsu.edu> writes:
> 
>> Hello,
>> 
>> I'm trying to find a solver that will work for the mixed 
>> complementarity problem (MCP). I've searched the CRAN task view page 
>> on optimization and mathematical programming as well as many google searches to no avail.
>> Does anyone know if there is an MCP solver available for R?
>> 
>> Thanks very much,
>> 
>> JM
> 
> The problem class of 'mixed complementary problems' is quite big and encompasses difficult optimization problems such as nonlinear systems of equations, nonlinear optimization problems, or optimization with equality constraints, among others.
> 
> There is no solver or package in R that will solve 'mixed complementary problems' in general. Perhaps your problem can be cast into a more specialized form that is accessible to one of the available solvers. Otherwise, GAMS has its own module for solving MCP problems.
> 
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