Solving large-scale linear programs by interior-point methods under the Matlab*Environment†
作者:
Yin Zhang,
期刊:
Optimization Methods and Software
(Taylor Available online 1998)
卷期:
Volume 10,
issue 1
页码: 1-31
ISSN:1055-6788
年代: 1998
DOI:10.1080/10556789808805699
出版商: Gordon and Breach Science Publishers
关键词: Linear programming;interior-point algorithms;MATLAB;LIPSOL
数据来源: Taylor
摘要:
In this paper, we describe our implementation of a primal-dual infeasible-interior-point algorithm for large-scale linear programming under the MATLAB environment. The resulting software is called LIPSOL — Linear-programming Interior-Point SOLvers. LIPSOL is designed to take the advantages of MATLAB's sparse-matrix functions and external interface facilities, and of existing Fortran sparse Cholesky codes. Under the MATLAB environment, LIPSOL inherits a high degree of simplicity and versatility in comparison to its counterparts in Fortran or C language. More importantly, our extensive computational results demonstrate that LIPSOL also attains an impressive performance comparable with that of efficient Fortran or C codes in solving large-scale problems. In addition, we discuss in detail a technique for overcoming numerical instability in Cholesky factorization at the end-stage of iterations in interior-point algorithms.
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