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Kallio, M.J. & 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: | 27 Aug 2021 17:14 |
| URI: | https://pure.iiasa.ac.at/4194 |
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