An extended algorithm for separated continuous linear programs |
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Authors: | Malcolm C Pullan |
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Institution: | (1) Formerly at St. John’s College, Cambridge CB2 1TP, UK, GB |
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Abstract: | Separated continuous linear programs (SCLP) are a class of continuous linear programs which, among other things, can serve
as a useful model for dynamic network problems where storage is permitted at the nodes. Recent work on SCLP has produced a
detailed duality theory, conditions under which an optimal solution exists with a finite number of breakpoints, a purification
algorithm, as well as a convergent algorithm for solving SCLP under certain assumptions on the problem data. This paper combines
much of this work to develop a possible approach for solving a wider range of SCLP problems, namely those with fairly general
costs. The techniques required to implement the algorithm are no more than standard (finite-dimensional) linear programming
and line searching, and the resulting algorithm is simplex-like in nature. We conclude the paper with the numerical results
obtained by using a simple implementation of the algorithm to solve a small problem.
Received: May 1994 / Accepted: March 2002?Published online June 25, 2002 |
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Keywords: | , continuous linear programming –, linear optimal control –, simplex-like algorithm |
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