Optimization with staircase structure: an application to generation scheduling
1990
Abstract This paper is concerned with the optimization of large mathematical programming problems with dynamic constraints. These problems lead to constraint matrices with staircase structure. A method for updating the LU factorization of staircase matrices based on the classic work of Bartels and Golub is proposed. Linear and nonlinear problems are discussed. A compromise between structure preservation and numerical stability is searched throughout the updating process.
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