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ON AN EFFICIENT IMPLEMENTATION OF THE FACE ALGORITHM FOR LINEAR PROGRAMMING

Zhang Leihong (longzlh***at***gmail.com)
Yang Weihong (whyang***at***fudan.edu.cn)
Liao Lizhi (liliao***at***hkbu.edu.hk)

Abstract: In this paper, we consider the solution of the standard linear programming (LP). A remarkable result in LP claims that all optimal solutions form an optimal face of the underlying polyhedron. In practice, many real-world problems have infinitely many optimal solutions and pursuing the optimal face, not just an optimal vertex, is quite desirable. The face algorithm proposed [19] targets at the optimal face by iterating from face to face, along an orthogonal projection of the negative objective gradient onto a relevant null space. The algorithm exhibits a favorable numerical performance by comparing the simplex method. In this paper, we further investigate the face algorithm by proposing an improved implementation. In exact arithmetic computation, the new algorithm generates the same sequence as the original face algorithm, but uses less computational costs per iteration, and enjoys favorable properties for sparse problems.

Keywords: Linear programming, Level face, Optimal face, Rank-one correction

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

Citation: Journal of Computational Mathematics, to appear.

Download: [PDF]

Entry Submitted: 04/19/2012
Entry Accepted: 04/19/2012
Entry Last Modified: 01/31/2013

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