A Bundle Type Dual-Ascent Approach to Linear Multicommodity Min-Cost Flow Problems

We present a Cost Decomposition approach for the linear Multicommodity Min-Cost Flow problem, where the mutual capacity constraints are dualized and the resulting Lagrangean Dual is solved with a dual-ascent algorithm belonging to the class of Bundle methods. Although decomposition approaches to block-structured Linear Programs have been reported not to be competitive with general-purpose software, our extensive computational comparison shows that, when carefully implemented, a decomposition algorithm can outperform several other approaches, especially on problems where the number of commodities is “large” with respect to the size of the graph. Our specialized Bundle algorithm is characterized by a new heuristic for the trust region parameter handling, and embeds a specialized Quadratic Program solver that allows the efficient implementation of strategies for reducing the number of active Lagrangean variables. We also exploit the structural properties of the single-commodity Min-Cost Flow subproblems to reduce the overall computational cost. The proposed approach can be easily extended to handle variants of the problem.