A subgradient algorithm for accelerating the Dantzig-Wolfe decomposition method. (English) Zbl 0596.90061

Mahey, Philippe

Methods Oper. Res. 53, 697-707 (1986).

Summary: We propose to accelerate the convergence of classical decomposition methods by a subgradient algorithm. The case of Dantzig-Wolfe’s algorithm applied to large scale block-angular linear programs is analyzed and we show how the information brought by a chain of subgradients improve its performance.

MSC:

90C06	Large-scale problems in mathematical programming
65K05	Numerical mathematical programming methods
90C05	Linear programming

Keywords:

convergence acceleration; subgradient algorithm; large scale block- angular linear programs