empvi04.gms : Test for EMP Variational Inequalities

Description

```VI is to find x in X:

F(x) (y - x) >= 0, for all y in X

X is a closed convex set, e.g. X = { x >= 0 | g(x) >= 0 }

This can be reformulated as an MCP:

0 <= F(x) - \grad g(x) u  \perp x >= 0
0 <= g(x)                                  \perp u >= 0

In what follows, the model reform is the MCP that EMP should

Contributor: Steven Dirkse and Jan-H. Jagla , January 2009
```

Small Model of Type : GAMS

Category : GAMS Test library

Main file : empvi04.gms

``````\$title Test for EMP Variational Inequalities (EMPVI04,SEQ=426)

\$ontext
VI is to find x in X:

F(x) (y - x) >= 0, for all y in X

X is a closed convex set, e.g. X = { x >= 0 | g(x) >= 0 }

This can be reformulated as an MCP:

0 <= F(x) - \grad g(x) u  \perp x >= 0
0 <= g(x)                                  \perp u >= 0

In what follows, the model reform is the MCP that EMP should

Contributor: Steven Dirkse and Jan-H. Jagla , January 2009

\$offtext

sets
I  / i1, i2 /
J  / j1 * j3 /
;

table A(I,J)
j1        j2     j3
i1      1         1
i2                1      1 ;

parameter b(I) /
i1   6
i2   9
/;

positive variables
x(J)  'primal vars, perp to f(J)'
u(I)  'auxiliary vars, perp to g(I)'
;

equations
F(J)
F_aux(J)
g(I)
;

F(J)..      2 * x(J)                        =N= 0 ;
F_aux(J)..  2 * x(J) + sum{I, -A(I,J)*u(I)} =N= 0 ;
g(I)..      sum {j, A(I,J)*x(J)} =g= b(I) ;

* VI re-formulated as MCP
model reform / F_aux.x, g.u/;
solve reform using mcp;

model niceVI / F, g/;
file fx / "%emp.info%" /;
putclose fx 'vi F x';

niceVI.iterlim = 0;
solve niceVI using emp;
abort\$[niceVI.objval > 1e-6] 'Input for model vi should be optimal, was not';

``````
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