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The volume algorithm: producing primal solutions with a subgradient method

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Abstract.

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.

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Authors and Affiliations

  1. IBM T.J. Watson Research Center, Yorktown Heights, NY 10598, , , , , , US

    Francisco Barahona & Ranga Anbil

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  1. Francisco Barahona
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  2. Ranga Anbil
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Received: June 15, 1998 / Accepted: November 15, 1999¶Published online March 15, 2000

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Barahona, F., Anbil, R. The volume algorithm: producing primal solutions with a subgradient method. Math. Program. 87, 385–399 (2000). https://doi.org/10.1007/s101070050002

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  • DOI: https://doi.org/10.1007/s101070050002

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