The volume algorithm: producing primal solutions with a subgradient method
- Cite this article as:
- Barahona, F. & Anbil, R. Math. Program. (2000) 87: 385. doi:10.1007/s101070050002
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We present an extension to the subgradient algorithm to produce primal as well as dual solutions. It can be seen as a fast way to carry out an approximation of Dantzig-Wolfe decomposition. This gives a fast method for producing approximations for large scale linear programs. It is based on a new theorem in linear programming duality. We present successful experience with linear programs coming from set partitioning, set covering, max-cut and plant location.