A linear programming decomposition focusing on the span of the nondegenerate columns

Jérémy Omer (1, 2) , François Soumis (1, 2)

1 EPM - École Polytechnique de Montréal
2 GERAD - Groupe d’études et de recherche en analyse des décisions

The improved primal simplex (IPS) was recently developed by Elhalaloui et al. to take advantage of degeneracy when solving linear programs with the primal simplex. It implements a dynamic constraint reduction based on the compatible columns, i.e., those that belong to the span of a given subset of basic columns including the nondegenerate ones. The identification of the compatible variables may however may be computationally costly and a large number of linear programs are solved to enlarge the subset of basic variables. In this article, we first show how the positive edge criterion of Raymond et al. can be included in IPS for a fast identification of the compatible variables. Our algorithm then proceeds through a series of reduction and augmentation phases until optimality is reached. In a reduction phase, we identify compatible variables and focus on them to make quick progress toward optimality. During an augmentation phase, we compute one greatest normalized improving direction and select a subset of variables that should be considered in the reduced problem. Compared with IPS, the linear program that is solved to find this direction involves the data of the original constraint matrix. This new algorithm is tested over Mittelmann’s benchmark for linear programming and on instances arising from industrial applications. The results show that the new algorithm outperforms the primal simplex of CPLEX on most highly degenerate instances in which a sufficient number of nonbasic variables are compatible. In contrast, IPS has difficulties on the eleven largest Mittelmann instances.

Domaines: Recherche opérationnelle [math.OC]; Optimisation et contrôle [math.OC]

Jérémy Omer, François Soumis. A linear programming decomposition focusing on the span of the nondegenerate columns. European Journal of Operational Research, 2015, 245 (2), pp.371-383. ⟨10.1016/j.ejor.2015.03.019⟩. ⟨hal-02099614⟩