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  • ISYE6669 LP 10 21 4 - AndySun - FW

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    The document discusses a lecture on large-scale optimization techniques, specifically covering the last step of the Dantzig-Wolfe decomposition algorithm which uses column generation to solve the transformed master problem by checking optimality and adding new columns if needed, delivered by Assistant Professor Andy Sun in the Stewart School of Industrial and Systems Engineering.

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    The document discusses a lecture on large-scale optimization techniques, specifically covering the last step of the Dantzig-Wolfe decomposition algorithm which uses column generation to solve the transformed master problem by checking optimality and adding new columns if needed, delivered by Assistant Professor Andy Sun in the Stewart School of Industrial and Systems Engineering.

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    © All Rights Reserved
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    8 views6 pages

    ISYE6669 LP 10 21 4 - AndySun - FW

    Uploaded by

    nicholaszyli
    The document discusses a lecture on large-scale optimization techniques, specifically covering the last step of the Dantzig-Wolfe decomposition algorithm which uses column generation to solve the transformed master problem by checking optimality and adding new columns if needed, delivered by Assistant Professor Andy Sun in the Stewart School of Industrial and Systems Engineering.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pdf or txt
    of 6

    Deterministic

    Optimization
    Large-Scale Optimization
    Dantzig-Wolfe
    Decomposition
    Andy Sun
    Assistant Professor
    Stewart School of Industrial and Systems Engineering

    Dantzig-Wolfe Decomposition 3
    Large-Scale Optimization
    Dantzig-Wolfe
    Learning Objectives for this lesson
    • Develop the last step in the
    Dantzig-Wolfe decomposition
    algorithm
    Dantzig-Wolfe Decomposition
    • Step 4: Apply Column Generation to solve (MP)
    • Check optimality of 𝜆" using dual solution 𝑦$, 𝑟̂ :

    No
    𝑍" < 0? Stop

    Yes
    Add column
    to 𝐼
    How To Compute Smallest Reduced
    Cost?
    • Compute smallest reduced cost:
    • We don’t want to enumerate over all extreme points:
    • Key idea: Reverse use of extreme point representation
    Dantzig-Wolfe Decomposition
    • Start with a subset of columns 𝐼 to form (RMP)
    • Solve (RMP) and get optimal dual variable 𝑦$, 𝑟̂
    • Check optimality of (RMP)’s primal solution

    No
    𝑍" < 0? Stop

    Yes
    Add column
    to 𝐼
    Summary

    • We learned:
    – The fourth step in Dantzig-Wolfe
    decomposition that applies column
    generation to solve the transformed
    master problem

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