A breakpoint search approach for convex resource allocation problems with bounded variables

作者：De Waegenaere Anja^*; Wielhouwer Jacco L

来源：Optimization Letters, 2012, 6(4): 629-640.

DOI：10.1007/s11590-011-0288-0

• Resource allocation
• Multiplier search
• Non-linear programming
• Pegging

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.

• 出版日期2012-4