Parallel Computation of Large-Scale Dynamic Market Network Equilibria via Time Period Decomposition
Name
OR-222-90.pdf
Size
1.22 MB
Format
Adobe PDF
Checksum (MD5)
d342a71169b3c09826c06670cc91f243
Author(s)
Nagurney, Anna
Kim, Dae-Shik
Date Issued
July 1990
Publisher
Massachusetts Institute of Technology, Operations Research Center
Series/Report no.
Operations Research Center Working Paper;OR 222-90
Abstract
In this paper we consider a dynamic market equilibrium problem over a finite time horizon in which a commodity is produced, consumed, traded, and inventoried over space and time. We first formulate the problem as a network equilibrium problem and derive the variational inequality formulation of the problem. We then propose a parallel decomposition algorithm which decomposes the large-scale problem into T + 1 subproblems, where T denotes the number of time periods. Each of these subproblems can then be solved simultaneously, that is, in parallel, on distinct processors. We provide computational results on linear separable problems and on nonlinear asymmetric problems when the algorithm is implemented in a serial and then in a parallel environment. The numerical results establish that the algorithm is linear in the number of time periods. This research demonstrates that this new formulation of dynamic market problems and decomposition procedure considerably expands the size of problems that are now feasible to solve.
MIT Department
Massachusetts Institute of Technology. Operations Research Center
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