Parallel matrix inversion for the revised simplex method - A study

Contributed talk at the Sparse Days Meeting 2006 at CERFACS: 15th-16th June 2006

J. A. J. Hall


The revised simplex method for solving linear programming LP problems requires the solution of B\hat{\bfa}_q = \bfa_q and B^T\bfpi = \bfe_p, where B is the basis matrix, \bfa_q is column q of the (sparse) constraint matrix and \bfe_p is column p of the identity matrix. Although the invertible representation of B is usually obtained by an updating procedure, periodically it is necessary to form it from scratch. As a crucial step towards the goal of a practical parallel implementation of the revised simplex method, this talk considers the scope for exploiting parallelism during basis matrix inversion. For LP problems where the revised simplex method out-performs barrier methods, the solutions of B\hat{\bfa}_q = \bfa_q and B^T\bfpi = \bfe_p are generally sparse. This property of LP problems is referred to as hyper-sparsity. It will be shown that the basis matrices of hyper-sparse LP problems are generally highly reducible, and that the dominant cost of matrix inversion is that of identifying the irreducible component via a triangularisation procedure. This talk will describe the triangularisation procedure and discuss the scope for parallelising it.

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