Steepest Ascent for Large - Scale Linear Programs
نویسنده
چکیده
Many structured large-scale linear programming problems can be transformed into an equivalent problem of maximizing a piecewise linear, concave function subject to linear constraints. The equivalent problem can, in turn, be solved in a finite number of steps using a steepest ascent algorithm. This principle is applied to block diagonal systems yielding refinements of existing algorithms. An application to the multi-stage problem yields an entirely new algorithm.
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