Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming

John Birge and Liqun Qi
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Liqun Qi: Department of Industrial Engineering, University of Wisconsin, Madison, Wisconsin 53706

Management Science, 1988, vol. 34, issue 12, 1472-1479

Abstract: We present a variant of Karmarkar's algorithm for block-angular structured linear programs, such as stochastic linear programs. By computing the projection efficiently, we give a worst-case bound on the order of the running time that can be an order of magnitude better than that of Karmarkar's standard algorithm. Further implications for approximations and very large-scale problems are given.

Keywords: linear programming; stochastic programming; Karmarkar method (search for similar items in EconPapers)
Date: 1988
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