Augmented Lagrangian method for large-scale linear programming problemsстатья
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Аннотация:The augmented Lagrangian and Newton methods are used to simultaneously solve the
primal and dual linear programming problems. The proposed approach is applied to the
primal linear programming problem with a very large number (≈ 10^6) of nonnegative
variables and a moderate (≈ 10^3) number of equality-type constraints. Computation results
such as the solution of a linear programme with 10 million primal variables are presented.