Computing the
projection in an interior point algorithm: An experimental
comparison
Mauricio G.C. Resende and Geraldo Veiga
Investigacion Operativa, vol. 3, pp. 81-92, 1993
ABSTRACT
This
paper reports on a computational study comparing two implementations of
the ascent direction (projection) computation in the dual affine scaling
algorithm for linear programming. The first is the direct
factorization code described in Adler, Karmarkar, Resende and Veiga
(1989). The second is the preconditioned conjugate gradient code
described in Resende and Veiga (1990). The codes are identical
with the exception of the ascent direction computation. We show
that for a class of minimum cost network flow problems the conjugate
gradient approach leads to substantially faster solution times.
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