Solving many linear programs that differ only in the right hand side

Solving many linear programs that differ only in the right hand side

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Article ID: iaor1988734
Country: Netherlands
Volume: 37
Issue: 3
Start Page Number: 318
End Page Number: 324
Publication Date: Dec 1988
Journal: European Journal of Operational Research
Authors: ,
Keywords: programming: probabilistic
Abstract:

In 1984, Wets presented a method for solving many linear programs that differ only in the righthand side. The idea is to build up a search tree, where each node corresponds to a dual feasible basis for the linear program, and each arc to a dual pivot step. Nodes are added to the search tree as they are needed, and the linear programs are solved by trickling down the different righthand sides in the tree until primal feasibility, and hence optimality, is achieved. The authors demonstrate that the order in which the righthand sides are picked is crucial for execution time and data storage requirements. Sorting methods, that do not need explicit representations of the possible righthand sides, are presented, and computational results are given.

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