Volume 54, Number 6, November-December 2020
|Page(s)||1835 - 1861|
|Published online||16 September 2020|
Decentralized decomposition algorithms for peer-to-peer linear optimization
Department of Industrial Engineering, Boğaziçi University, 34342 Bebek, Istanbul, Turkey
* Corresponding author: firstname.lastname@example.org
Accepted: 15 October 2019
We propose Decentralized Benders Decomposition and Decentralized Dantzig–Wolfe Decomposition algorithms for large-scale block angular linear programming problems. Our methods allow multiple peer decision makers to cooperate with the aim of solving the problem without the need of a central coordination mechanism. Instead we achieve cooperation by partial information sharing across a strongly connected communication network. Our main goal is to design decentralized solution approaches for decision makers who are unwilling to disclose their local data, but want to solve the global problem collaboratively for mutual benefit. We prove that our proposed methods reach global optimality in a finite number of iterations. We confirm our theoretical results with computational experiments.
Mathematics Subject Classification: 90C05 / 90C06
Key words: Linear programming / decentralized coordination / peer-to-peer optimization / block angular structure
© EDP Sciences, ROADEF, SMAI 2020
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