An augmented Lagrangian decomposition method for block diagonal linear programming problems

Authors:
Andrzej Ruszczyski
Affiliations:
Institute of Automatic Control, Warsaw University of Technology, Ul. Nowowiejska 15/19, 00-665 Warszawa, Poland
Venue:
Operations Research Letters
Year:
1989

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Abstract

A new decomposition method for large linear programming problems of angular structure is proposed. It combines the ideas of augmented Lagrangians, simplicial decomposition, column generation and dual ascent. Finite termination of the method is proved.