Keywords
local optimization, continuous piecewise linear programming, modified simplex algorithm
Abstract
This paper works on a modified simplex algorithm for the local optimization of Continuous PieceWise Linear (CPWL) programming with generalization of hinging hyperplane objective and linear constraints. CPWL programming is popular since it can be equivalently transformed into difference of convex functions programming or concave optimization. Inspired by the concavity of the concave CPWL functions, we propose an Objective Variation Simplex Algorithm (OVSA), which is able to find a local optimum in a reasonable time. Computational results are presented for further insights into the performance of the OVSA compared with two other algorithms on random test problems.
Publisher
Tsinghua University Press
Recommended Citation
Yu Bai, Zhiming Xu, Xiangming Xi et al. Objective Variation Simplex Algorithm for Continuous Piecewise Linear Programming. Tsinghua Science and Technology 2017, 22(1): 73-82.