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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/2217

Title: Solving large scale linear programming
Authors: Hafsteinsson, H
Levkovitz, R
Mitra, G
Publication Date: 1993
Publisher: Brunel University
Citation: Maths Technical Papers (Brunel University). August 1993, pp 1-28.
Series/Report no.: TR/05/93
Abstract: The interior point method (IPM) is now well established as a competitive technique for solving very large scale linear programming problems. The leading variant of the interior point method is the primal dual - predictor corrector algorithm due to Mehrotra. The main computational steps of this algorithm are the repeated calculation and solution of a large sparse positive definite system of equations. We describe an implementation of the predictor corrector IPM algorithm on MasPar, a massively parallel SIMD computer. At the heart of the implemen-tation is a parallel Cholesky factorization algorithm for sparse matrices. Our implementation uses a new scheme of mapping the matrix onto the processor grid of the MasPar, that results in a more efficient Cholesky factorization than previously suggested schemes. The IPM implementation uses the parallel unit of MasPar to speed up the factorization and other computationally intensive parts of the IPM. An impor-tant part of this implementation is the judicious division of data and computation between the front-end computer, that runs the main IPM algorithm, and the par-allel unit. Performance
URI: http://bura.brunel.ac.uk/handle/2438/2217
Appears in Collections:Mathematics Technical Papers

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