Abstract
It has been shown [8] that numerous interior-point algorithms for linear programming (LP) generate solution sequences that converge to strict complementarity solutions, or interior solutions on the optimal face. In this note we further establish a theoretical base for Gay's test (Gay, 1989) to identify the optimal face, and develop a new termination procedure to obtain an exact solution on the optimal face. We also report some numerical results for solving a set of LP test problems, each of which has a highly degenerate and unbounded optimal face.
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Research supported in part by NSF Grant DDM-8922636, The Iowa Business School Summer Grant, and the Interdisciplinary Research Grant of the University of Iowa Center for Advanced Studies.
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Ye, Y. On the finite convergence of interior-point algorithms for linear programming. Mathematical Programming 57, 325–335 (1992). https://doi.org/10.1007/BF01581087
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DOI: https://doi.org/10.1007/BF01581087