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

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
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