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Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming

Author

Listed:
  • John R. Birge

    (Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor, Michigan 48109)

  • Liqun Qi

    (Department of Industrial Engineering, University of Wisconsin, Madison, Wisconsin 53706)

Abstract

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.

Suggested Citation

  • John R. Birge & Liqun Qi, 1988. "Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming," Management Science, INFORMS, vol. 34(12), pages 1472-1479, December.
  • Handle: RePEc:inm:ormnsc:v:34:y:1988:i:12:p:1472-1479
    DOI: 10.1287/mnsc.34.12.1472
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