Abstract:
A new scheme for solving a problem for linear programming is proposed. The main property that distinguishes the considered problem is that the basis sub-matrices of its matrix are composed of only M-matrices. Based on the possibility created by this property, a matrix game with the same structure and size as its matrix is set against the given problem, and the possibility of constructing the optimal basis of the problem by partially executing the Brownian iteration leading to the optimal strategy of the second player is shown. Thus, we decompose the solution of the problem into the execution of a finite number of Brownian iterations. The areas of application of the solution scheme are shown. A numerical example illustrates the scheme. The possibility of replacing the game matrix with an integer-element matrix is also shown. This property allows Brownian iteration to be performed exactly.
Bibl. 38.
