Parallel Solution of Linear Programs Via Nash Equilibria

Kallio MJ & Ruszczynski A (1994). Parallel Solution of Linear Programs Via Nash Equilibria. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-94-015

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Abstract

The linear programming problem is shown to be equivalent to a game in which primal players minimize the augmented Lagrangian function for the primal problem and dual players maximize the augmented Lagrangian function for the dual problem. Based on that, a parallel solution method is developed in which processors carry out under-relaxed Jacobi steps for the players. Strong convergence of the method is proved and the ratio of linear convergence estimated. Computational results are highly encouraging.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:04
Last Modified: 26 Oct 2017 11:10
URI: http://pure.iiasa.ac.at/4194

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