Efficiency and implementation of simplicial zero point algorithms |
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Authors: | G. van der Laan L. P. Seelen |
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Affiliation: | (1) Department of Actuarial Sciences and Econometrics, Vrije Universiteit, De Boelelaan 1081, 1081 HV Amsterdam, The Netherlands |
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Abstract: | In this paper we compare the efficiency of several simplicial variable dimension algorithms. To do so, we first treat the
issues of degeneracy and accelerating. We present a device for solving degeneracy. Furthermore we compare several accelerating
techniques. The technique of iterated quasi-Newton steps after each major cycle of the simplicial algorithm is implemented
in a computer code, which is used to compare the efficiency of the (n+1)-ray, 2n-ray, 2
n
-ray and (3
n
−1)-ray algorithms. Except for the (n+1)-ray algorithm, the number of function evaluations does not differ very much between the various algorithms. It appeared,
however, that the 2
n
-algorithm needs considerably less computation time. |
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Keywords: | Simplicial Algorithm Zero Point Linear Programming Step Efficiency |
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