G-2003-43
A Proximal Trust-Region Algorithm for Column Generation Stabilization
and BibTeX reference
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.
Published July 2003 , 23 pages
This cahier was revised in July 2004
Research Axes
Research application
Publication
Jan 2006
A proximal trust-region algorithm for column generation stabilization
and
Computers & Operations Research, 33(4), 910–927, 2006
BibTeX reference