On embedding the volume algorithm in a variable target value method

Authors:
Hanif D Sherali;Churlzu Lim
Affiliations:
Grado Department of Industrial and Systems Engineering, Mail Code 0118, Virginia Polytechnic Institute and State University, 302 Whittemore Hall, Blacksburg, VA 24061, USA;Grado Department of Industrial and Systems Engineering, Mail Code 0118, Virginia Polytechnic Institute and State University, 302 Whittemore Hall, Blacksburg, VA 24061, USA
Venue:
Operations Research Letters
Year:
2004

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Abstract

We employ the volume algorithm as a subgradient deflection strategy in a variable target value method for solving nondifferentiable optimization problems. Focusing on Lagrangian duals for LPs, we exhibit primal nonconvergence of the original method, establish convergence of the proposed algorithm in the dual space, and present related computational results.