Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
We present a variant of Karmarkar's algorithm for block-angular structured linear programs, such as stochastic linear programs. By computing the projection efficiently, we give a worst-case bound on the order of the running time that can be an order of magnitude better than that of Karmarkar's standard algorithm. Further implications for approximations and very large-scale problems are given.
Volume (Year): 34 (1988)
Issue (Month): 12 (December)
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