Article ID Journal Published Year Pages File Type
5128385 Operations Research Letters 2017 5 Pages PDF
Abstract

In the context of large-scale linear programs solved by a column generation algorithm, we present a primal algorithm for handling the master problem. Successive approximations of the latter are created to converge to optimality. The main properties are that, for every approximation except the last one, the cost of the solution decreases whereas the sum of the variable values increases. Moreover, the minimum reduced cost of the variables also increases and converges to zero with a super-geometric growth rate.

Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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