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Solving staircase linear programs by the simplex method, 1: Inversion
Authors:Robert Fourer
Affiliation:(1) Department of Industrial Engineering and Management Sciences, Northwestern University, 60201 Evanston, IL, USA
Abstract:
This and a companion paper consider how current implementations of the simplex method may be adapted to better solve linear programs that have a staged, or lsquostaircasersquo, structure. The present paper looks at lsquoinversionrsquo routines within the simplex method, particularly those for sparse triangular factorization of a basis by Gaussian elimination and for solution of triangular linear systems. The succeeding paper examines lsquopricingrsquo routines. Both papers describe extensive (though preliminary) computational experience, and can point to some quite promising results.
Keywords:Large-Scale Optimization  Linear Programming  Staircase Linear Programs  Simplex Method
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