Abstract
In this paper, we present a property of certain linear multistage problems. To solve them, a method which takes this property into account is presented. It requires the resolution of 2N−1 subproblems, if there areN stages in the original problem. A sufficient condition is given on the matrix of the constraints for the property to be true. When only a submatrix has this property, we propose to use the Dantzig-Wolfe decomposition principle. We then can solve the subproblem with the proposed method. Applications to linear and nonlinear programming are presented.
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Communicated by P. Varaiya
This work was done while the author was Visiting Scholar at the Department of Electrical Engineering and Computer Sciences, University of California, Berkeley, California.
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Lasserre, J.B. A property of certain multistage linear programs and some applications. J Optim Theory Appl 34, 197–205 (1981). https://doi.org/10.1007/BF00935473
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DOI: https://doi.org/10.1007/BF00935473