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Separable Augmented Lagrangian Algorithm with Multidimensional Scaling for Monotropic Programming

Author

Listed:
  • O. M. Guèye

    (Université de Sherbrooke)

  • J. -P. Dussault

    (Université de Sherbrooke)

  • P. Mahey

    (Université Blaise-Pascal)

Abstract

We analyze a new decomposition approach for convex structured programs based on augmented Lagrangian functions with multiple scaling parameters. We obtain global convergence results with weak hypotheses. Numerical results are presented on a class of multicommodity flow problems; empirical choices of the scaling parameters updates are discussed.

Suggested Citation

  • O. M. Guèye & J. -P. Dussault & P. Mahey, 2005. "Separable Augmented Lagrangian Algorithm with Multidimensional Scaling for Monotropic Programming," Journal of Optimization Theory and Applications, Springer, vol. 127(2), pages 329-345, November.
    • Handle: RePEc:spr:joptap:v:127:y:2005:i:2:d:10.1007_s10957-005-6547-4
    DOI: 10.1007/s10957-005-6547-4
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