Article ID: | iaor19961087 |
Country: | Netherlands |
Volume: | 64 |
Issue: | 3 |
Start Page Number: | 337 |
End Page Number: | 363 |
Publication Date: | May 1994 |
Journal: | Mathematical Programming (Series A) |
Authors: | Rothblum Uriel G., Luss Hanan, Klein Rachelle S. |
Keywords: | programming: nonlinear |
The authors consider minimax optimization problems where each term in the objective function is a continuous, strictly decreasing function of a single variable and the constraints are linear. They develop relaxation-based algorithms to solve such problems. At each iteration, a relaxed minimax problem is solved, providing either an optimal solution or a better lower bound. The authors develop a general methodology for such relaxation schemes for the minimax optimization problem. The feasibility tests and formulation of subsequent relaxed problems can be done by using Phase I of the Simplex method and the Farkas multipliers provided by the final Simplex tabelau when the corresponding problem is infeasible. Such relaxation-based algorithms are particularly attractive when the minimax optimization problem exhibits additional structure. The authors explore special structures for which the relaxed problem is formulated as a minimax problem with knapsack type constraints; efficient algorithms exist to solve such problems. The relaxation schemes are also adapted to solve certain resource allocation problems with substitutable resources. There, instead of Phase I of the Simplex method, a max-flow algorithm is used to test feasibility and formulate new relaxed problems.