%A Steven P. Dirkse
%A Michael C. Ferris
%T A Pathsearch Damped Newton Method for Computing General Equilibria
%D April 1994
%R 94-03
%I COMPUTER SCIENCES DEPARTMENT, UNIVERSITY OF WISCONSIN
%C MADISON, WI
%X 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 LCP's)
in both speed and robustness. The underlying complementarity problem
is reformulated as a normal map so that standard algorithmic
enchancements 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.