A pegging algorithm for the nonlinear resource allocation problem

A pegging algorithm for the nonlinear resource allocation problem

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Article ID: iaor20023095
Country: United Kingdom
Volume: 29
Issue: 5
Start Page Number: 505
End Page Number: 527
Publication Date: Apr 2002
Journal: Computers and Operations Research
Authors: ,
Keywords: programming: branch and bound, programming: dynamic
Abstract:

In this paper we present a new algorithm for solving the nonlinear resource allocation problem. The nonlinear resource allocation problem is defined as the minimization of a convex function over a single convex constraint and bounded integer variables. We first present a pegging algorithm for solving the continuous variable problem, and then incorporate the pegging method in a branch and bound algorithm for solving the integer variable problem. We compare the computational performance of the pegging branch and bound algorithm with three other methods: a multiplier search branch and bound algorithm, dynamic programming, and a 0,1 linearization method. The computational results demonstrate that the pegging branch and bound algorithm advances the state of the art in methods for solving the nonlinear resource allocation problem.

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