Abstract
Recursive separable programming algorithms based on local, two-segment approximations are described for the solution of separable convex programs. Details are also given for the computation of lower bounds on the optimal value by both a primal and a dual approach, and these approaches are compared. Computational comparisons of the methods are provided for a variety of test problems, including a water supply application (with more than 600 constraints and more than 900 variables) and an econometric modelling problem (with more than 200 variables).
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Research supported by National Science Foundation Grants MCS74-20584 A02 and MCS-7901066.
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Meyer, R.R. Computational aspects of two-segment separable programming. Mathematical Programming 26, 21–39 (1983). https://doi.org/10.1007/BF02591890
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DOI: https://doi.org/10.1007/BF02591890