GAMS World Forum

I am using mpec=nlpec to solve a mpec problem. however, the solver keeps running for a long time. i want to terminate early. How do I terminate after say a gap of 0.03 and still get the full feasible solution?

T_k,

If you are solving your MPEC model with the NLPEC solver, than you are ultimately running a DNLP solver on a reformulated version of the problem. So the answer depends entirely on what DNLP solver you are using. Please specify.

Many DNLP solvers are local solvers, i.e. they are looking for a point that satisfies local optimality conditions (e.g. the reduced gradient is zero or nearly zero). For these, there is no concept of a well defined optimality gap. But a global solver will have such a concept. Set the optimality gap in the usual ways: most convenient is to set the GAMS parameter OPTCR.

-Steve