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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/2327

Title: Experimental investigations in combining primal dual interior point method and simplex based LP solvers
Authors: Levkovitz, R
Mitra, G
Tamiz, M
Keywords: primal dual interior point methods
simplex algorithm
basis recovery
Publication Date: 1993
Publisher: Brunel University
Citation: Maths Technical Papers (Brunel University). May 1993, pp 1-28
Series/Report no.: TR/03/93
Abstract: The use of a primal dual interior point method (PD) based optimizer as a robust linear programming (LP) solver is now well established. Instead of replacing the sparse simplex algorithm (SSX), the PD is increasingly seen as complementing it. The progress of PD iterations is not hindered by the degeneracy or the stalling problem of the SSX, indeed it reaches the 'near optimum' solution very quickly. The SSX algorithm, in contrast, is not affected by the boundary conditions which slow down the convergence of the PD. If the solution to the LP problem is non unique, the PD algorithm converges to an interior point of the solution set while the SSX algorithm finds an extreme point solution. To take advantage of the attractive properties of both the PD and the SSX, we have designed a hybrid framework whereby cross over from PD to SSX can take place at any stage of the PD optimization run. The cross over to SSX involves the partition of the PD solution set to active and dormant variables. In this paper we examine the practical difficulties in partitioning the solution set, we discuss the reliability of predicting the solution set partition before optimality is reached and report the results of combining exact and inexact prediction with SSX basis recovery.
URI: http://bura.brunel.ac.uk/handle/2438/2327
Appears in Collections:Mathematics Technical Papers

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