A linear programming approach to solving bilinear programmes

A linear programming approach to solving bilinear programmes

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Article ID: iaor1993760
Country: Netherlands
Volume: 56
Issue: 1
Start Page Number: 45
End Page Number: 50
Publication Date: Aug 1992
Journal: Mathematical Programming (Series A)
Authors:
Keywords: programming: linear
Abstract:

This paper discusses the maximization of a bilinear function over two independent polytopes. The maximization problem is converted into a max-min problem, using duality. This problem is then solved via a sequence of dual linear programmes, whose constraint vectors are successively determined by tth order optima of a master linear programme.

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