[R] MCP solver

[Maxwell, John McFarland]

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?

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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