A proximal trust-region algorithm for column generation stabilization

A proximal trust-region algorithm for column generation stabilization

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Article ID: iaor20072079
Country: United Kingdom
Volume: 33
Issue: 4
Start Page Number: 910
End Page Number: 927
Publication Date: Apr 2006
Journal: Computers and Operations Research
Authors: ,
Keywords: vehicle routing & scheduling
Abstract:

This paper proposes a generalization of the proximal point algorithm using both penalty and trust-region concepts. Finite convergence is established while assuming the trust regions are of full dimension and never shrink to a single point. The approach is specialized to the cutting plane/column generation context. The resulting algorithm ensures convergence to a pair of primal and dual optimal solutions. Computational experiments carried over multi-depot vehicle scheduling instances show a great stabilizing and accelerating effect on the column generation method.

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