xhub / reshop

ReSHOP solver

ReSHOP is a library that models optimization problems with nonclassical and rich structures and performs transformations on them. Examples include Nash Equilibrium, Problems with Equilibrium Constraints, Optimal Value Function. The term Extended Mathematical Programming (EMP) subsumes all of those cases. ReSHOP aims at solving EMP problems applying reformulations into forms amenable to computations.

It supports the following EMP problems:

• (Generalized) Nash Equilibrium Problem and Multiple Objectives Problem with Equilibrium Constraints (MOPEC)
• Optimal Value Functions, a concept that subsumes regularizers, coherent risk measures (like CVaR)

ReSHOP can be used from GAMS, Python, and Julia, as well as a standalone library. In GAMS it relies on annotations to define the EMP structure, whereas in Python and Julia, there is a programmatic approach to the EMP problem definition.