Abstract
This paper introduces three novel techniques for updating the invertible representation of the basis matrix when solving practical sparse linear programming problems using a high performance implementation of the dual revised simplex method, being of particular value when suboptimization is used. Two are variants of the product form update and the other permits multiple Forrest–Tomlin updates to be performed. Computational results show that one of the product form variants is significantly more efficient than the traditional approach, with its performance approaching that of the Forrest–Tomlin update for some problems. The other is less efficient, but valuable in the context of the dual revised simplex method with suboptimization. Results show that the multiple Forrest–Tomlin updates are performed with no loss of serial efficiency.
Similar content being viewed by others
References
Hall, J.A.J., Huangfu, Q.: A high performance dual revised simplex solver. In: R. Wyrzykowski et al. (ed.) PPAM 2011, Part I. LNCS, vol. 7203, pp. 143–151. Springer, Heidelberg (2012)
Lubin, M., Hall, J.A.J., Petra, C.G., Anitescu, M.: Parallel distributed-memory simplex for large-scale stochastic LP problems. Comput. Optim. Appl. 55(3), 571–596 (2013)
Suhl, U.H., Suhl, L.M.: Computing sparse LU factorizations for large-scale linear programming bases. ORSA J. Comput. 2(4), 325–335 (1990)
Tomlin, J.A.: Pivoting for size and sparsity in linear programming inversion routines. J. Inst. Math. Appl. 10, 289–295 (1972)
Dantzig, G.B., Orchard-Hays, W.: The product form for the inverse in the simplex method. Math. Comp. 8, 64–67 (1954)
Bartels, R.H.: A stabilization of the simplex method. Numer. Math. 16, 414–434 (1971)
Forrest, J.J.H., Tomlin, J.A.: Updated triangular factors of the basis to maintain sparsity in the product form simplex method. Math. Program. 2, 263–278 (1972)
Reid, J.K.: A sparsity-exploiting variant of the Bartels-Golub decomposition for linear programming bases. Math. Program. 24(1), 55–69 (1982)
Suhl, U.H., Suhl, L.M.: A fast LU update for linear programming. Ann. Oper. Res. 43(1), 33–47 (1993)
Eldersveld, S.K., Saunders, M.A.: A block-LU update for large-scale linear programming. SIAM J. Matrix Anal. Appl. 13, 191–201 (1992)
Gill, P.E., Murray, W., Saunders, M.A., Wright, M.H.: Sparse matrix methods in optimization. SIAM J. Sci. Stat. Comput. 5, 562–589 (1984)
Hall, J.A.J.: Sparse matrix algebra for active set methods in linear programming. Ph.D. thesis, University of Dundee Department of Mathematics and Computer Science (1991)
Bisschop, J., Meeraus, A.J.: Matrix augmentation and partitioning in the updating of the basis inverse. Math. Program. 13, 241–254 (1977)
Elble, J.M., Sahinidis, N.V.: A review of the LU update in the simplex algorithm. Int. J. Math. Oper. Res. 4(4), 366–399 (2012)
Huangfu, Q., Hall, J.A.J.: Parallel dual simplex methods. School of Mathematics, University of Edinburgh, Technical Report (2014). (In preparation)
Hall, J.A.J., McKinnon, K.I.M.: Hyper-sparsity in the revised simplex method and how to exploit it. Comput. Optim. Appl. 32(3), 259–283 (2005)
Tomlin, J.A.: On pricing and backward transformation in linear programming. Math. Program. 6, 42–47 (1974)
Rosander, R.R.: Multiple pricing and suboptimization in dual linear programming algorithms. Math. Program. Study 4, 108–117 (1975)
Bartels, R.H., Golub, G.H.: The simplex method of linear programming using LU decomposition. Commun. ACM 12(5), 266–268 (1969)
COIN-OR: Clp. http://www.coin-r.org/projects/Clp.xml. Accessed 26 June 2013
Koberstein, A.: Progress in the dual simplex algorithm for solving large scale LP problems: techniques for a fast and stable implementation. Comput. Optim. Appl. 41(2), 185–204 (2008)
Gilbert, J.R., Peierls, T.: Sparse partial pivoting in time proportional to arithmetic operations. SIAM J. Sci. Stat. Comput. 9(5), 862–874 (1988)
Gay, D.M.: Electronic mail distribution of linear programming test problems. Math. Program. Soc. COAL Newslett. 13, 10–12 (1985)
Carolan, W.J., Hill, J.E., Kennington, J.L., Niemi, S., Wichmann, S.J.: An empirical evaluation of the KORBX algorithms for military airlift applications. Oper. Res. 38(2), 240–248 (1990)
IBM: ILOG CPLEX Optimizer. http://www.ibm.com/software/products/gb/en/ibmilogcpleoptistud/. Accessed 26 June 2013
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Huangfu, Q., Hall, J.A.J. Novel update techniques for the revised simplex method. Comput Optim Appl 60, 587–608 (2015). https://doi.org/10.1007/s10589-014-9689-1
Received:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10589-014-9689-1