多阶段凸规划的分解算法

1975 IEEE Conference on Decision and Control including the 14th Symposium on Adaptive Processes Pub Date : 1975-12-01 DOI:10.1109/CDC.1975.270574

Richard P. O'Neill

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引用次数: 0

摘要

多级或阶梯结构在许多具有时间范围的模型中自然出现。本文提出并讨论了问题函数为凸时的一种分解算法。dantzigg - wolfe凸规划算法是一种可用于求解生成子问题的技术。讨论了该算法的计算实现和特殊结构下更有效的技术。

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A decomposition algorithm for multistage convex programs

The multistage or staircase structure appears naturally in many models with time horizons. This paper presents and discusses a decomposition algorithm when the problem functions are convex. The Dantzig-Wolfe convex programming algorithm is presented as one of the techniques available for solving the generated subproblems. Computational implementation of the algorithm and more efficient techniques in the presence of special structure are discussed.

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来源期刊

1975 IEEE Conference on Decision and Control including the 14th Symposium on Adaptive Processes

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