Article ID: | iaor19961430 |
Country: | Netherlands |
Volume: | 66 |
Issue: | 1 |
Start Page Number: | 79 |
End Page Number: | 101 |
Publication Date: | Aug 1994 |
Journal: | Mathematical Programming (Series A) |
Authors: | Medhi Deepankar |
Robinson has proposed the bundle-based decomposition algorithm to solve a class of structured large-scale convex optimization problems. In this method, the original problem is transformed (by dualization) to an unconstrained nonsmooth concave optimizatin problem which is in turn solved by using a modified bundle method. The paper gives a posterior error estimates on the approximate primal optimal solution and on the duality gap. It describes implementation and present computational experience with a special case of this class of problems, namely, block-angular linear programming problems. The paper observes that the method is efficient in obtaining the approximate optimal solution and compares favorable with MINOS and an advanced implementation of the Dantzig-Wolfe decomposition method.