An efficient search direction for linear programming problems

Abstract

In this paper, we present an auxiliary algorithm, in terms of the speed of obtaining the optimal solution, that is effective in helping the simplex method for commencing a better initial basic feasible solution. The idea of choosing a direction towards an optimal point presented in this paper is new and easily implemented. From our experiments, the algorithm will release a corner point of the feasible region within few iterative steps, independent of the starting point. The computational results show that after the auxiliary algorithm is adopted as phase I process, the simplex method consistently reduce the number of required iterations by about 40%. Scope and purpose Recent progress in the implementations of simplex and interior point methods as well as advances in computer hardware has extended the capability of linear programming with today's computing technology. It is well known that the solution times for the interior point method improve with problem size. But, experimental evidence suggests that interior point methods dominate simplex-based methods only in the solution of very large scale linear programs. If the problem size is medium, how to combine the best features of these two methods to produce an effective algorithm for solving linear programming problems is still an interesting problem. In this research we present a new effective ε-optimality search direction based on the interior point method to start an initial basic feasible solution near the optimal point for the simplex method.