Strict monotonicity in Todd's low-complexity algorithm for linear programming

Authors:
Shinji Mizuno;Atsushi Nagasawa
Affiliations:
Department of Prediction and Control, The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-ku, Tokyo 106, Japan;Department of Industrial Engineering and Management, Tokyo Institute of Technology, 2-12-1 Oh-Okayama, Meguro-ku, Tokyo 152, Japan
Venue:
Operations Research Letters
Year:
1992

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Abstract

We propose a strictly monotone algorithm in the true objective for linear programming, which preserves the simplicity and the low-complexity of Todd's algorithm. We also propose a low complexity algorithm in which the search direction is computed by a single formula in all cases.