Linear Programming solvers: the state of the art
Invited talk at 4th ISM-ZIB-IMI MODAL Workshop on Mathematical Optimization and Data Analysis Tokyo, 27 March 2019
Julian Hall
Abstract
As the fundamental model in optimal decision-making, and as a sub-problem when solving more general optimization problems, the requirement to solve large, sparse linear programming (LP) problems efficiently is hugely important. For all but the most specialised of problems, solutions are found using the simplex method and interior point methods. This talk will discuss the merits of these two approaches and the techniques underlying their efficient implementation, for both general and structured LP problems. A survey of software, both commercial and open-source, will also be presented.