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Stabilization of Mehrotra’s primal-dual algorithm and its implementation. (English) Zbl 1062.90068
Summary: We apply a stabilization procedure proposed by Kovačević-Vujčić and Ašić 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.
MSC:
90C51Interior-point methods
Software:
HOPDM; LIPSOL; Mosek