Solving the continuous nonlinear resource allocation problem with an interior point method

Abstract

Resource allocation problems are usually solved with specialized methods exploiting their general sparsity and problem-specific algebraic structure. We show that the sparsity structure alone yields a closed-form Newton search direction for the generic primal-dual interior point method. Computational tests show that the interior point method consistently outperforms the best specialized methods when no additional algebraic structure is available.

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Cited by in corpus (3)

• On a reduction for a class of resource allocation problems
• Quadratic nonseparable resource allocation problems with generalized bound constraints
• Algorithms for the continuous nonlinear resource allocation problem---new implementations and numerical studies