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Tsinghua Science and Technology

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

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