Complementarity.jl

Provides a modeling interface for mixed complementarity problems (MCP) and math programs with equilibrium problems (MPEC) via JuMP
Popularity
68 Stars
Updated Last
1 Year Ago
Started In
April 2016

Complementarity.jl

Build Status codecov

This package provides modeling language for (1) mixed complementarity problems (MCP) and (2) mathematical programs with equilibrium problems (MPEC).

NOTE @complmentarity for MCP and @complements for MPEC.

Mixed Complementarity Problems (MCP)

NOTE: Differences between PATHSolver.jl and Complementarity.jl:

  • PATHSolver.jl provides a wrapper for the C API of the PATH solver.
  • PATHSolver.jl also enables JuMP for solving MCP, but limited to linear problems.
  • Complementarity.jl provides a JuMP extension for solving MCP, both linear and nonlinear, using the C API wrapper in PATHSolver.jl.

MCP Documentation

F(x) ⟂ lb ≤ x ≤ ub

A very simple example:

(x+2) x = 0,  x ≥ 0,   x+2 ≥ 0
using Complementarity, JuMP
m = MCPModel()
@variable(m, x >= 0)
@mapping(m, F, x+2)
@complementarity(m, F, x)
status = solveMCP(m)
@show result_value(x)

Mathematical Programs with Equilibrium Constraints (MPEC)

NOTE: For solving MPEC, JuMP.jl v0.21 has started supporting complementarity constraints. At this moment, GAMS.jl and KNITRO support complementarity constraints.

MPEC Documentation

min  f(x)
s.t. g(x) ≤ 0
     F(x) ⟂ lb ≤ x ≤ ub

A very simple example:

min  x^3
s.t. (x+2) x = 0,  x ≥ 0,   x+2 ≥ 0
using JuMP, Ipopt, Complementarity
m = Model(Ipopt.Optimizer)
@variable(m, x>=0)
@NLobjective(m, Min, x^3)
@complements(m, 0 <= x+2,   x >= 0)
solve(m)
@show getvalue(x)

Installation

Pkg.add("Complementarity")

This will also install a few other packages.