Tatonnement procedures for linearly constrained convex optimization

Kallio, M.J. & Salo, S. (1994). Tatonnement procedures for linearly constrained convex optimization. Management Science 40 (6) 788-797.

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Abstract

The emphasis in this article is to exploit the fact that precision requirements for solutions of most economic models in practice are moderate only. A simple approach is introduced for solving linearly constrained partial equilibrium models based on an iterative scheme similar to the simplex method. It allows large-scale models to be solved, within a practical tolerance, efficiently even in a micro computer environment. Extensions to linearly constrained convex optimization problems are presented. Finally, a set of computational tests on 68 linear programs from the NETLIB library is reported. Comparison of our approach with the simplex method (using MINOS 5.1) and with Karmarkar's algorithm is reported. For moderate precision requirements these preliminary results are highly encouraging.

Item Type:	Article
Research Programs:	Risk Analysis and Policy (RAP)
Bibliographic Reference:	Management Science; 40(6):788-797 (June 1994)
Depositing User:	IIASA Import
Date Deposited:	15 Jan 2016 02:03
Last Modified:	27 Aug 2021 17:35
URI:	https://pure.iiasa.ac.at/3848

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