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Zbl 1062.90068
Stanimirović, Predrag S.; Stojković, Nebojša V.; Kovačević-Vujčić, Vera V.
Stabilization of Mehrotra's primal-dual algorithm and its implementation. (English)
[J] Eur. J. Oper. Res. 165, No. 3, 598-609 (2005). ISSN 0377-2217

Summary: We apply a stabilization procedure proposed by Kovačević-Vujčić and Ašić to the Mehrotra's primal-dual interior-point algorithm for linear programming. Transformations of the dual problem corresponding to the stabilization procedure are considered. The stabilization procedure and Mehrotra's algorithm are implemented in the package {\tt Mathematica}. A number of highly degenerate test examples are used to compare the modified Mehrotra's method with respect to the original one and the codes {\tt PCx}, {\tt LIPSOL} and {\tt MOSEK}. We also provide numerical results on some examples from the Netlib test set.

MSC 2000:: *90C51 Interior-point methods

Keywords: Primal-dual interior-point methods; Ill-conditioning; Degeneracy; Stabilization; Mathematica

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Zentralblatt MATH Berlin [Germany]