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A decomposition method based on the augmented Lagrangian. (English) Zbl 0662.90046

The paper discusses the use of the augmented Lagrangian in a decomposition method which is a direct application of the method of multipliers. It is pointed out that this approach does not necessarily destroy separability inherent in a problem, namely separability can be recovered by the use of sequential linearization algorithms. In this class the Frank-Wolfe algorithm is used to develope a decomposition algorithm. After the general statement of the algorithm, it is specialized to the decomposition of linear programs. Some limited computational evidence on the usefulness of the algorithm is also reported.
Reviewer: I.Maros

MSC:

90C05 Linear programming
49M27 Decomposition methods
65K05 Numerical mathematical programming methods
90C06 Large-scale problems in mathematical programming
90C30 Nonlinear programming
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