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A Primal-Dual Algorithm for Monotropic Programming and its Application to Network Optimization

Author

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  • Ouorou, A.

Abstract

This paper presents a new primal-dual algorithm for solving a class of monotropic programming problems. This class involves many problems arising in a number of important applications in telecommunications networks, transportation and water distribution. The proposed algorithm is inspired by Kallio and Ruszczynski approach for linear programming. The problem is replaced by a game using two different augmented Lagrangian functions defined for the primal and the dual problems. It is then possible to develop a block-wise Gauss-Siedel method to reach an equilibrium of the game with alternative steps made in each component of the primal and dual variables.

Suggested Citation

  • Ouorou, A., 1998. "A Primal-Dual Algorithm for Monotropic Programming and its Application to Network Optimization," Papers 98.13, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
    • Handle: RePEc:fth:ehecge:98.13
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    More about this item

    Keywords

    OPTIMIZATION ; NETWORK ANALYSIS;

    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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