Searching for the Multiplier in One-Constraint Optimization Problems

B. L. Fox and D. M. Landi
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B. L. Fox: The Rand Corporation, Santa Monica, California
D. M. Landi: The Rand Corporation, Santa Monica, California

Operations Research, 1970, vol. 18, issue 2, 253-262

Abstract: One-constraint optimization problems are approached via Lagrange multipliers. Sequential search schemes for generating suitable trial multiplier values are compared, and it is shown that, in general, the minimax sequential search is bisection. For certain applications, it pays to design search procedures that take advantage of special structure, such as recursively defined functions. An efficient, one-pass search procedure based on bisection for a multi-item, multi-echelon inventory problem is also presented.

Date: 1970
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