A decomposition method for structured linear and nonlinear programs

摘要

A decomposition method for nonlinear programming problems with structured linear constraints is described. The structure of the constraint matrix is assumed to be block diagonal with a few coupling constraints or variables, or both. The method is further specialized for linear objective functions. An algorithm for performing post optimality analysis—ranging and parametric programming—for such structured linear programs is included. Some computational experience and results for the linear case are presented.