We present an extension to the subgradient algorithm to produce primal as well as dual solutions.
It can be seen as a fast way to carry out an approximation of Dantzig-Wolfe decomposition.
This gives a fast method for producing approximations for large scale linear programs.
It is based on a new theorem in linear programming duality. We present successful experience with linear programs coming from set partitioning, set covering, max-cut and plant location.
By: Francisco Barahona, Ranga Anbil
Published in: RC21103 in 1998
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