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Warm Start and E-Subgradients in Cutting Plane Scheme for Block-Angular Linear Programs

Author

Listed:
  • Gondzio, J.
  • Vial, J.-P.

Abstract

This paper addresses the issues involved with an interior point-based decomposition applied to the solution of linear programs with a block-angular structure. Unlike classicla decomposition schemes that use the simplex method to solve subproblems, the approach presented in this paper employs a primal-dual infeasible interior point method. The above-mentioned algorithm offers a perfect measure of the distance to optimality, which is exploited to terminate the algorithm earlier and to generate E-subgradients.

Suggested Citation

  • Gondzio, J. & Vial, J.-P., 1997. "Warm Start and E-Subgradients in Cutting Plane Scheme for Block-Angular Linear Programs," Papers 97.23, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
    • Handle: RePEc:fth:ehecge:97.23
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    Keywords

    MATHEMATICS;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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