Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 0771.90066
Lustig, Irvin J.; Marsten, Roy E.; Shanno, David F.
On implementing Mehrotra's predictor-corrector interior-point method for linear programming. (English)
[J] SIAM J. Optim. 2, No.3, 435-449 (1992). ISSN 1052-6234; ISSN 1095-7189/e

Summary: {\it S. Mehrotra} [Tech. Report 90-03, Dept. of Industrial Engineering and Management Sciences, Northwestern Univ. Evanston, Illinois/USA (1990)] recently described a predictor-corrector variant of the primal- dual interior-point algorithm for linear programming. This paper describes a full implementation of this algorithm, with extensions for solving problems with free variables and problems with bounds on primal variables. Computational results on the NETLIB test set are given to show that this new method almost always improves the performance of the primal-dual algorithm and that the improvement increases dramatically as the size and complexity of the problem increases. A numerical instability in using Schur complements to remove dense columns is identifed, and a numerical remedy is given.

MSC 2000:: *90C05 Linear programming
90C06 Large-scale problems
90-08 Computational methods (optimization)

Keywords: primal-dual interior-point algorithm

Cited in: Zbl 0837.90087

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]