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G-2003-43

A Proximal Trust-Region Algorithm for Column Generation Stabilization

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This paper proposes a generalization of the proximal point algorithm using both penalty and trust region concepts. Finite convergence is established while assuming the trust regions are of full dimension and never shrink to a single point. The approach is specialized to the cutting plane/column generation context. The resulting algorithm ensures convergence to a pair of primal and dual optimal solutions. Computational experiments carried over multi-depot vehicle scheduling instances show a great stabilizing and accelerating effect on column generation method.

, 23 pages

This cahier was revised in July 2004

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A proximal trust-region algorithm for column generation stabilization
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Computers & Operations Research, 33(4), 910–927, 2006 BibTeX reference