A breakpoint search approach for convex resource allocation problems with bounded variables
De Waegenaere,A.M.B. Wielhouwer,J.L.
De Waegenaere,A.M.B.
Wielhouwer,J.L.
Abstract
We present an efficient approach to solve resource allocation problems with a single resource, a convex separable objective function, a convex separable resource-usage constraint, and variables that are bounded below and above. Through a combination of function evaluations and median searches, information on whether or not the upper- and lowerbounds are binding is obtained. Once this information is available for all upper and lower bounds, it remains to determine the optimum of a smaller problem with unbounded variables. This can be done through a multiplier search procedure. The information gathered allows for alternative approaches for the multiplier search which can reduce the complexity of this procedure.
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Date
2012
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Research Projects
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Citation
De Waegenaere, A M B & Wielhouwer, J L 2012, 'A breakpoint search approach for convex resource allocation problems with bounded variables', Optimization Letters, vol. 6, no. 4, pp. 629-640. https://doi.org/10.1007/s11590-011-0288-0