Convergence and Numerical Expirements with a Decomposition Algorithm

Nurminski, E.A. ORCID: https://orcid.org/0000-0002-7236-6955 (1982). Convergence and Numerical Expirements with a Decomposition Algorithm. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-82-008

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Abstract

This paper gives a proof of convergence of a decomposition algorithm for solution of an optimization model consisting of two submodels. The submodels are represented by separate mathematical programming problems and are linked by dependence on common variables.

The method for coordinating the activities of submodels, in order to reach an overall optimum, is based on the approximation of the original problem, which can be interpreted as the direct exchange of proposals between submodels. Computational improvements in comparison with the conventional master-subproblems schemas are shown.

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