The Simplex Algorithm Extended to Piecewise-Linearly Constrained Problems
نویسندگان
چکیده
We present an extension of the Simplex method for solving problems with piecewise-linear functions of individual variables within the constrains of otherwise linear problems. This work generalizes a previous work of Fourer that accommodate piecewise-linear terms in objective functions. The notion of nonbasic variable is extended to a variable fixed at a breakpoint. This new algorithm was implemented through an original extension of the XMP library and successfully applied to solve an industrial problem. Subject classification: Piecewise-linear programming, Simplex method.
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