A Numerical Investigation of Ellipsoid Algorithms for Large-Scale Linear Programming.
STANFORD UNIV CA SYSTEMS OPTIMIZATION LAB
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The ellipsoid algorithm associated with Shor, Khachiyan and others has certain theoretical properties that suggest its use as a linear programming algorithm. Some of the practical difficulties are investigated here. A variant of the ellipsoid update is first developed, to take advantage of the range constraints that often occur in linear programs i.e., constraints of the form l or aTx or u, where u - l is reasonably small. Methods for storing the ellipsoid matrix are then discussed for both dense and sparse problems. In the large-scale case, a major difficulty is that the desired ellipsoid cannot be represented compactly throughout an arbitrary number of iterations. Some schemes are suggested for economizing on storage, but any guarantee of convergence is effectively lost. At this stage there remains little room for optimism that an ellipsoid-based algorithm could complete with the simplex method on problems with a large number of variables. Author
- Theoretical Mathematics