Decomposition of Large Scale Linear Programming Problems Containing both Linking Variables and Constraints via Accuracy Certificates

Abstract: Several well known large scale linear programming decomposition methodologies exist. Benders Decomposition, which covers the case where some small subset of variables link the otherwise separable subproblems. Dantzig-Wolfe decomposition and Lagrangian decompositions, which cover the case where some few constraints link the otherwise separable subproblems, and finally the "Cross-Decomposition" originating from TJ Van Roy which enables one to deal with both linking constraints and linking variables by essentially alternating iteratively between the Benders and the Lagrangian Decomposition. In this paper we present a novel alternative to Cross-decomposition that deals with both linking constraints and linking variables through the application of accuracy certificates for black-box, sub-gradient based algorithms such as NERML.