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An infeasible-start algorithm for linear programming whose complexity depends on the distance from the starting point to the optimal solution

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Abstract

This paper presents an algorithm for solving a linear program LP (to a given tolerance) from a given prespecified starting point. As such, the algorithm does not depend on any “bigM” initialization assumption. The complexity of the algorithm is sensitive to and is dependent on the quality of the starting point, as assessed by suitable measures of the extent of infeasibility and the extent of nonoptimality of the starting point. Two new measures of the extent of infeasibility and of nonoptimality of a starting point are developed. We then present an algorithm for solving LP whose complexity depends explicitly and only on how close the starting point is to the set of LP feasible and optimal solutions (using these and other standard measures), and also onn (the number of inequalities). The complexity results using these measures of infeasibility and nonoptimality appear to be consistent with the observed practical sensitivity of interior-point algorithms to certain types of starting points. The starting point can be any pair of primal and dual vectors that may or may not be primal and/or dual feasible, and that satisfies a simple condition that typically arises in practice or is easy to coerce.

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Authors and Affiliations

  1. Sloan School of Management, Massachusetts Institute of Technology, 02142, Cambridge, MA, USA

    Robert M. Freund

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  1. Robert M. Freund
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Research supported in part by the MIT-NTU Collaboration Agreement.

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Freund, R.M. An infeasible-start algorithm for linear programming whose complexity depends on the distance from the starting point to the optimal solution. Ann Oper Res 62, 29–57 (1996). https://doi.org/10.1007/BF02206810

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