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A diagonal quadratic approximation method for large scale linear programs. (English) Zbl 0767.90047
Summary: An augmented Lagrangian method is proposed for handling the common rows in large scale linear programming problems with block-diagonal structure and linking constraints. Using a diagonal quadratic approximation of the augmented Lagrangian one obtains subproblems that can be readily solved in parallel by a nonlinear primal-dual barrier method for convex separable programs. The combined augmented Lagrangian/barrier method applies in a natural way to stochastic programming and multicommodity networks.

MSC:
90C05Linear programming
90C06Large-scale problems (mathematical programming)
90-08Computational methods (optimization)
90C15Stochastic programming
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References:
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