METHOD AND APPARATUS FOR A SCALABLE ALGORITHM FOR DECISION OPTIMIZATION

摘要

An iterative approach to solving the optimization problem is provided. The invention provides an iteration of four basic operations; determining the segments, balancing the segments, expanding a segment, and solving the segment optimization. The method and apparatus can use any off-the-shelf linear programming (LP) solver, such as Dash Optimization Xpress, by Dash Optimization, during the solve operation. The size of the problem fed into the LP solver remains bounded and relatively small compared to the entire problem size. Thus, the algorithm can solve problems of several orders of magnitude larger. In one embodiment of the invention, the sampling and segmentation techniques are removed to where the problem is solved at the account-level. In the above cases, the solution is produced in a more cost-effective manner and the best possible return is achieved because the doubt of achieving a true global solution is removed.