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    Primal-Dual Bilinear Programming Solution of the Absolute Value Equation

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    Primal-Dual Bilinear Programming Solution of the Absolute Value Equation (93.82Kb)
    Date
    2011
    Author
    Mangasarian, Olvi
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    Abstract
    We propose a finitely terminating primal-dual bilinear programming algorithm for the solution of the NP-hard absolute value equation (AVE): Ax ? |x| = b, where A is an n � n square matrix. The algorithm, which makes no assumptions on AVE other than solvability, consists of a finite number of linear programs terminating at a solution of the AVE or at a stationary point of the bilinear program. The proposed algorithm was tested on 500 consecutively generated random instances of the AVE with n =10, 50, 100, 500 and 1,000. The algorithm solved 88.6% of the test problems to an accuracy of 1e ? 6 .
    Subject
    linear programming
    bilinear programming
    absolute value equations
    Permanent Link
    http://digital.library.wisc.edu/1793/64356
    Citation
    11-01
    Part of
    • DMI Technical Reports

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