An extended algorithm for separated continuous linear programs

作     者：Pullan, MC 

作者机构：St Johns Coll Cambridge CB2 1TP England 

出 版 物：《MATHEMATICAL PROGRAMMING》 (数学规划)

年 卷 期：2002年第93卷第3期

页      面：415-451页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0835[工学-软件工程] 0701[理学-数学] 

主　　题：continuous linear programming linear optimal control simplex-like algorithm 

摘      要：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.