优化理论前沿——Column generation技术

本文探讨了Column Generation技术在解决复杂问题时的运用,将原问题划分为主问题和子问题。主问题关注部分变量,而子问题旨在确定新变量,其目标函数基于当前对偶变量的减缩成本,并确保新变量符合实际约束条件。
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Column generation or delayed column generation is an efficient algorithm for solving larger linear programs.

The overarching idea is that many linear programs are too large to consider all the variables explicitly. Since most of the variables will be non-basic and assume a value of zero in the optimal solution, only a subset of variables need to be considered in theory when solving the problem. Column generation leverages this idea to generate only the variables which have the potential to improve the objective function—that is, to find variables with negative reduced cost (assuming without loss of generality that the problem is a minimization problem).

The problem being solved is split into two problems: the mast

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