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DUAL FACE ALGORITHM
FOR LINEAR PROGRAMMING
SOUTHEAST UNIVERSITY
PING-QI PAN
Abstract
The proposed algorithm proceeds from dual face to
dual face, until reaching a dual optimal face along
with a pair of dual and primal optimal solutions,
compared with the simplex algorithm, which moves
from vertex to vertex. It computes the search
direction as an orthogonal projection of the dual
objective gradient onto a relevant null space. In each
iteration, it solves a single small triangular system,
compared with four triangular systems handled by
the simplex algorithm. We report preliminary but
favorable computational results with a set of
standard Netlib test problems.
1. Introduction
1.1. The State of the Art.
• Simplex algorithm (G. B. Dantzig 1947)
• Ellipsoid algorithm ( Khachiyan 1979)
• Interior-point algorithm ( Karmarkar 1984)
Pan’s work :
• The obtuse-angle principle(1990)
• Bisection simplex algorithm (1991)
• The most-obtuse-angle rules(1997)
• Deficient basis & projective pivot algorithms (1997-)
• Nested pricing, Largest-distance pricing (2008-)
• Affine-scaling pivot algorithm (submitted)
1.2. Basic Idea : Moving from face to face.
1.3. Model.
We are concerned with the linear
programming (LP) problem in the standard form:
The dual problem:
1.4. Model Reformulation.
Program (1.2) can be transformed to:
2. Dual search direction and line search.
Dual face associated with B:
According Subprogram:
2.1. dual search direction
• The solution can be obtained by solving the
upper triangular system alone:
2.3. Line search
2.4. Contracting dual face and updating the
Cholesky factor.
3.Optimality test.
3.1. Expanding dual face and updating the
Cholesky factor.
4. The dual face algorithm
An attractive feature: in each iteration, it solves
a single smaller triangular system.
4.1. More features.
Any exp
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