A differentiable homotopy approach for solving polynomial optimization problems and noncooperative games
Numerical computation of solutions to systems of equations (65H10) Global methods, including homotopy approaches to the numerical solution of nonlinear equations (65H20) Numerical mathematical programming methods (65K05) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Nonlinear programming (90C30) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Noncooperative games (91A10)
A method of finding all the solutions of a system of m polynomials in m variables is studied in this paper. In contrast to earlier studies, optimization and noncooperative game problems are the focus. We develop a new relaxation approach using complementarity theory applied to first- order necessary conditions. This approach allows the solution and the proof of optimality for many difficult problems by means of a system of m polynomials in m variables, which subsequently can be solved by any method that can calculate all solutions of a polynomial system. To complete our study we apply a differentiable homotopy, check solutions, compare the number of function evaluations whenever possible, and present absolute error comparisons with other computational work.
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