Extragradient Method for Correction of Inconsistent Linear Programming Problems
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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.
Keywords:linear programming duality correction problem Lagrange function saddle point extragradient method regularization convergence
This work was supported by the Russian Science Foundation, project no. 14-11-00539.
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