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Stabilization of Mehrotra’s primal–dual algorithm and its implementation

Predrag S. Stanimirovic
Organization: University of Nis
Department: Department of Mathematics, Faculty of Science
Nebojsa V. Stojkovic
Vera V. Kovacevic-Vujcic
Journal / Anthology

European Journal of Operational Research
Year: 2005
Volume: 165
Issue: 3
Page range: 598-609

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.

*Mathematics > Algebra > Linear Algebra
*Wolfram Technology > Programming > Equation Solving

primal-dual interior-point methods, ill-conditioning, degeneracy, stabilization
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kvaran.nb (272.7 KB) - Notebook [for Mathematica 5.0]