Extragradient Method for Correction of Inconsistent Linear Programming Problems


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Abstract

For a pair of dual inconsistent linear programming problems, the existence and uniqueness of a correction vector that is optimal in the norm is proved. It is shown that the correction problem is reduced to the problem of finding a saddle point of a regularized Lagrange function. A modified extragradient method is proposed for solving the latter problem, and its convergence is proved.

About the authors

L. A. Artem’eva

Faculty of Computational Mathematics and Cybernetics, Moscow State University

Author for correspondence.
Email: artemieva.luda@gmail.com
Russian Federation, Moscow, 119991

F. P. Vasil’ev

Faculty of Computational Mathematics and Cybernetics, Moscow State University

Author for correspondence.
Email: vasiliev.fp@gmail.com
Russian Federation, Moscow, 119991

M. M. Potapov

Faculty of Computational Mathematics and Cybernetics, Moscow State University

Author for correspondence.
Email: mmpotapovrus@gmail.com
Russian Federation, Moscow, 119991

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