Computatinal experience with a globally convergent primal-dual predictor-corrector algorithm for linear programming

Kojima, Megiddo, and Mizuno proved global convergence of a primal-dual algorithm that corresponds to methods used in practice. Here, the numerical efficiency of a predictor-corrector extension of that algorithm is tested. Numerical results are extremely positive, indicating that the safety of a globally convergent algorithm can be obtained at little computational cost. The algorithm is tested on infeasible problems with less success. Finally, the algorithm is applied to a warm started problem, with very encouraging preliminary results.