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2016
Springer

Large-scale optimization with the primal-dual column generation method

3 years 7 months ago
Large-scale optimization with the primal-dual column generation method
The primal-dual column generation method (PDCGM) is a general-purpose column generation technique that relies on the primal-dual interior point method to solve the restricted master problems. The use of this interior point method variant allows to obtain suboptimal and well-centered dual solutions which naturally stabilizes the column generation. As recently presented in the literature, reductions in the number of calls to the oracle and in the CPU times are typically observed when compared to the standard column generation, which relies on extreme optimal dual solutions. However, these results are based on relatively small problems obtained from linear relaxations of combinatorial applications. In this paper, we investigate the behaviour of the PDCGM in a broader context, namely when solving large-scale convex optimization problems. We have selected applications that arise in important real-life contexts such as data analysis (multiple kernel learning problem), decision-making under ...
Jacek Gondzio, Pablo González-Brevis, Pedro
Added 08 Apr 2016
Updated 08 Apr 2016
Type Journal
Year 2016
Where MPC
Authors Jacek Gondzio, Pablo González-Brevis, Pedro Munari
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