On decomposition in bilinear programming

Abstract

In this paper, the bilinear optimization, problem and the method of primal decomposition for solving it are considered. The convexity and concavity properties of the arising optimal value function are investigated, and in a special case an algorithm based on the Dantzig-Wolfe decomposition principle is introduced.

Keywords:

• Nonlinear programming
• marginal functions
• Dantzig-Wolfe decomposition principle
• convex programming
• bilinear programs

AMS 1980 Subject Classifications:

• Primary: 90 C 30
• Secondary: 90 C 25