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A linear programming approach to solving bilinear programmes

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Abstract

This paper discusses the maximization of a bilinear function over two independent polytopes. The maximization problem is converted into a max—min problem, using duality. This problem is then solved via a sequence of dual linear programmes, whose constraint vectors are successively determined bytth order optima of a master linear programme.

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Authors and Affiliations

  1. Department of Decision Theory, University of Manchester, M13 9PL, Manchester, UK

    Douglas J. White

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  1. Douglas J. White
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White, D.J. A linear programming approach to solving bilinear programmes. Mathematical Programming 56, 45–50 (1992). https://doi.org/10.1007/BF01580892

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  • DOI: https://doi.org/10.1007/BF01580892

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