Cutting Plane Methods in Decision Analysis

Xiaosong Ding
Department of Information Technology and Media, Mid-Sweden University, Sweden

Faiz Al-Khayyal
School of Industrial and Systems Engineering, Georgia Institute of Technology, USA

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Ingår i: Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society

Linköping Electronic Conference Proceedings 14:2, s. 23-36

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Publicerad: 2004-12-28


ISSN: 1650-3686 (tryckt), 1650-3740 (online)


Several computational decision analysis approaches have been developed over a number of years for solving decision problems when vague and numerically imprecise information prevails. However; the evaluation phases in the DELTA method and similar methods often give rise to special bilinear programming problems; which are time-consuming to solve in an interactive environment with general nonlinear programming solvers. This paper proposes a linear programming based global optimization algorithm that combines the cutting plane method together with the lower bound information for solving this type of problems. The central theme is to identify the global optimum as early as possible in order to save additional computational efforts.


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