Relaxation-based algorithms for minimax optimization problems with resource allocation applications

Relaxation-based algorithms for minimax optimization problems with resource allocation applications

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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: , ,
Keywords: programming: nonlinear
Abstract:

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.

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