A breakpoint search approach for convex resource allocation problems with bounded variables |
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Authors: | Anja De Waegenaere Jacco L Wielhouwer |
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Institution: | (1) Department of Decision Sciences and Engineering Systems, Rensselaer Polytechnic Institute, Troy, NY 12180, USA;(2) Department of Industrial and Operations Engineering, The University of Michigan, Ann Arbor, MI 48109-2117, USA;(3) Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL 32611-6595, USA |
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Abstract: | We present an efficient approach to solve resource allocation problems with a single resource, a convex separable objective
function, a convex separable resource-usage constraint, and variables that are bounded below and above. Through a combination
of function evaluations and median searches, information on whether or not the upper- and lowerbounds are binding is obtained.
Once this information is available for all upper and lower bounds, it remains to determine the optimum of a smaller problem
with unbounded variables. This can be done through a multiplier search procedure. The information gathered allows for alternative
approaches for the multiplier search which can reduce the complexity of this procedure. |
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Keywords: | |
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