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A proximal trust-region algorithm for column generation stabilization
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DOI：10.1016/j.cor.2004.08.003.png)
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Abstract
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This paper proposes a generalization of the proximal point algorithm using both penalty and trust-region concepts. Finite convergence is established while assuming the trust regions are of full dimension and never shrink to a single point. The approach is specialized to the cutting plane/column generation context. The resulting algorithm ensures convergence to a pair of primal and dual optimal solutions. Computational experiments carried over multi-depot vehicle scheduling instances show a great stabilizing and accelerating effect on the column generation method. (c) 2004 Elsevier Ltd. All rights reserved.
Keywords:
nondifferentiable convex optimization
column generations
cutting planed
proximal methods
bundle methods
multiple depot vehicle scheduling problem
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