Tatonnement procedures for linearly constrained convex optimization

The emphasis in this article is to exploit the fact that precision requirements for solutions of most economic models in practice are moderate only. A simple approach is introduced for solving linearly constrained partial equilibrium models based on an iterative scheme similar to the simplex method. It allows large-scale models to be solved, within a practical tolerance, efficiently even in a micro computer environment. Extensions to linearly constrained convex optimization problems are presented. Finally, a set of computational tests on 68 linear programs from the NETLIB library is reported. Comparison of the present approach with the simplex method (using MINOS 5.1) and with Karmarkar’s algorithm is reported. For moderate precision requirements these preliminary results are highly encouraging.