The subgradient method is used frequently to optimize dual functions in Lagrangian relaxation for separable integer programming problems. In the method, all subproblems must be solved optimally to obtain a subgradient direction. In this paper, the surrogate subgradient method is developed, where a proper direction can be obtained without solving optimally all the subproblems. In fact, only an a...

Mikhail A. Bragin • Peter B. Luh • Joseph H. Yan • Nanpeng Yu • Gary A. Stern Communicated by Fabián Flores-Bazàn Abstract Studies have shown that the surrogate subgradient method, to optimize non-smooth dual functions within the Lagrangian relaxation framework, can lead to significant computational improvements as compared to the subgradient method. The key idea is to obtain surrogate subgradi...

The weekly cost-optimal generation of electric power in a hydrothermal generation system is modeled as a multistage mixed-integer stochastic program. The model incorporates uncertainties of electrical load forecasts, of inflows to pumped storage hydro plants and of fuel or electricity prices. For its solution a stochastic Lagrangian relaxation scheme is designed by assigning (stochastic) multip...

Quadratically constrained quadratic programs (QQPs) play an important modeling role for many diverse problems. These problems are in general NP hard and numerically intractable. Lagrangian relaxations often provide good approximate solutions to these hard problems. Such relaxations are equivalent to semidefinite programming relaxations. For several special cases of QQP, e.g., convex programs an...

We give a complete characterization of constant quadratic functions over an affine variety. This result is used to convexify the objective function of a general quadratic programming problem (Pb) which contains linear equality constraints. Thanks to this convexification, we show that one can express as a semidefinite program the dual of the partial Lagrangian relaxation of (Pb) where the linear...

Coordinated replenishment problems are common in manufacturing and distribution when a family of items shares a common production line, supplier, or a mode of transportation. In these situations the coordination of shared, and often limited, resources across items is economically attractive. This paper describes a mixed-integer programming formulation and Lagrangian relaxation solution procedur...

Lagrangian bounds, i.e. bounds computed by Lagrangian relaxation, have been used successfully in branch and bound bound methods for solving certain classes of nonconvex optimization problems by reducing the duality gap. We discuss this method for the class of partly linear and partly convex optimization problems and, incidentally, point out incorrect results in the recent literature on this sub...

For solving the multicommodity flow problems, Lagrangian relaxation based algorithms are fast in practice. The time-consuming part of the algorithms is the shortest path computations in solving the Lagrangian dual problem. We show that an A* search based algorithm is faster than Dijkstra’s algorithm for the shortest path computations when the number of demands is relatively smaller than the siz...

Solution oscillations, often caused by identical solutions to the homogeneous subproblems, constitute a severe and inherent disadvantage in applying Lagrangian relaxation based methods to resource scheduling problems with discrete decision variables. In this paper, the solution oscillations caused by homogeneous subproblems in the Lagrangian relaxation framework are identified and analyzed. Bas...

Dual decomposition has been recently proposed as a way of combining complementary models, with a boost in predictive power. However, in cases where lightweight decompositions are not readily available (e.g., due to the presence of rich features or logical constraints), the original subgradient algorithm is inefficient. We sidestep that difficulty by adopting an augmented Lagrangian method that ...