Modifications and Implementation of the Shor-Khachian Algorithm for Linear Programming
Goldfarb, Donald; Todd, Michael J.
We give some modifications of the recent Shor-Khachian algorithm for linear programming and describe a numerically stable implementation. We are concerned with practical problems where user-supplied bounds can usually be provided. Our implementation allows constraint dropping and updates bounds on the optimal value, and should be able to terminate with an indication of infeasibility or with a provably good feasible solution in a moderate number of iterations.
computer science; technical report
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