A Primal-Dual Algorithm for Monotropic Programming and its Application to Network Optimization

A. Ouorou

Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve-

Abstract: This paper presents a new primal-dual algorithm for solving a class of monotropic programming problems. This class involves many problems arising in a number of important applications in telecommunications networks, transportation and water distribution. The proposed algorithm is inspired by Kallio and Ruszczynski approach for linear programming. The problem is replaced by a game using two different augmented Lagrangian functions defined for the primal and the dual problems. It is then possible to develop a block-wise Gauss-Siedel method to reach an equilibrium of the game with alternative steps made in each component of the primal and dual variables.

Keywords: OPTIMIZATION; NETWORK ANALYSIS (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:98.13

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