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Computational NETLIB experience with a dense projected gradient sagitta method

Ángel Santos-Palomo (santos***at***ctima.uma.es)
Pablo Guerrero-García (pablito***at***ctima.uma.es)

Abstract: Computational results obtained when solving a subset of NETLIB problems by using a dense projected gradient implementation of the non-simplex active-set sagitta method presented in [12] are summarized. Two different addition rules for its initial phase are considered and, for each problem solved, two corresponding graphs are reported to illustrate the variations of the objective value along the active-set path. The comparison of our code for the sagitta method versus MATLAB code linprog shows that this sagitta method outperforms the simplex method in number of iterations and reliability and can be competitive in overall speed.

Keywords: linear programming; non-simplex active-set method; projected gradient

Category 1: Linear, Cone and Semidefinite Programming (Linear Programming )

Category 2: Optimization Software and Modeling Systems

Citation: MA-05-05, Department of Applied Mathematics, University of Málaga, 29071 Málaga, Spain September/2005

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Entry Submitted: 09/16/2005
Entry Accepted: 09/16/2005
Entry Last Modified: 09/16/2005

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