A path to the Arrow-Debreu competitive market equilibrium

: We present polynomial-time interior-point algorithms for solving the Fisher and Arrow-Debreu competitive market equilibrium problems with linear utilities and n players. Both of them have the arithmetic operation complexity bound of O(n4 log(1/ )) for computing an -equilibrium solution. If the problem data are rational numbers and their bit-length is L, then the bound to generate an exact solution is O(n4 L) which is in line with the best complexity bound for linear programming of the same dimension and size. This is a significant improvement over the previously best bound O(n8 log(1/ )) for approximating the two problems using other methods. The key ingredient to derive these results is to show that these problems admit convex optimization formulations and efficient barrier functions. We also present a continuous path leading to the set of the Arrow-Debreu equilibrium, similar to the central path developed for linear programming interior-point methods. This path is derived from the ...

• Type: Journal
• Year: 2008
• Where: MP
• Authors: Yinyu Ye
• Keywords: Linear Programming, MP 2008, Operation Complexity Bound, Polynomial-time Interior-point Algorithms