An interior point method, based on rank-one updates, for linear programming

J.F. Sturm and Shuzhong Zhang

No EI 9546-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We propose a polynomial time primal-dual potential reduction algorithm for linear programming. Unlike any other interior point method, the new algorithm is based on a rank-one updating scheme for sequentially computing the projection matrices. For a standard linear programming problem, the number of operations required is [TeX: ${\\cal O}(mn)$] per main iteration and the overall computational complexity is [TeX: ${\\cal O}(mn^{2.5}L)$].

Keywords: interior point method; linear programming; potential function (search for similar items in EconPapers)
Date: 1995-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1360

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