A linear programming approach to solving bilinear programmes (Q1207310): Difference between revisions

The author considers the bilinear programming problem `Maximize \((px+ qy+ x'Cy)\), subject to \(Ax\leq a\) \((x\geq 0)\), \(By\leq b\) \((y\geq 0)\), where \(A\in\mathbb{R}^{h\times l}\), \(B\in\mathbb{R}^{m\times n}\), \(C\in \mathbb{R}^{l\times n}\), \(p\in\mathbb{R}^ l\), \(q\in\mathbb{R}^ n\), \(a\in\mathbb{R}^ h\), \(b\in\mathbb{R}^ m\).' This problem is converted into a max-min problem, which is then solved via a sequence of dual linear programs, whose constraint vectors are successively determined by the order optima of a master linear program.