This program implements the interior point linear programming proposed by Nocedal and Wright (derived from Mehrotra). It uses a robust Choleski factorization described in Gill et al. It has been witten in order to better understand the interior point theory. It has 3 steps, predictor step, corrector step and centering step. It is not an operational solver !
min c'x
sc
| Ax = b
| x >= 0
- Numerical optimization, Nocedal, Wright, 2nd edition, Springer, 2000
- On the implementation of a primal-dual interior point method, Mehrotra, SIAM journal on optimization, 1992.
- Primal-dual interior-point methods, Wright, 1997
- Practical optimization, Gill, Murray, Wright, Academic press, 1984
- sudo apt install gfortran liblapack-dev doxygen
- cd make
- make all
- make all STATUS=debug (for some intermediate results and gdb possibilities)
- cd bin
- linprog n10c04 (folder name of the data set in the data folder)
- Add a more usual formulation for linear programming
- Add sparse matrices management
- Add preprocessing (delete dependent rows,...)