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Stabilization of Mehrotra’s primal–dual algorithm and its implementation
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| Organization: | University of Nis |
| Department: | Department of Mathematics, Faculty of Science |
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| European Journal of Operational Research |
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In this paper we apply a stabilization procedure proposed by Kovacevic-Vujcic and Asic 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 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 PCx, LIPSOL and MOSEK. We also provide numerical results on some examples from the Netlib test set.
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primal-dual interior-point methods, ill-conditioning, degeneracy, stabilization
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| kvaran.nb (272.7 KB) - Notebook [for Mathematica 5.0] |
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