Stabilization of Mehrotra's primal–dual algorithm and its implementation
- 作者：Stanimirovic ; Predrag S. ; Stojkovic ; Neboj&scaron ; a V. ; Kovacevic-Vujcic ; Vera V.
- 关键词：Primal&ndash ; dual interior-point methods ; Ill-conditioning ; Degeneracy ; Stabilization ; MATHEMATICA
- 刊名：European Journal of Operational Research
- 出版年：2005
- 期刊代码：58_03772217
- 类别：et
- 出版时间：September 16, 2005
- 卷：165
- 期：3
- 页码：598-609
- 文件大小：317 K
摘要
In this paper we apply a stabilization procedure proposed by Kovacevic-Vujcic and Ašic 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.