A maximum entropy method for linear programming

In this paper, an ε-optimal solution to a linear programming problem in Karmarkar standard form is given by reducing its dual problem to a differentiable and strictly convex programming via the maximum entropy principle. A perturbation solution of the original linear programming can be achieved by solving this convex programming. Moreover, an algorithm for finding an ε-optimal solution is proposed and the algorithm is proven to be convergent as ε tends to zero. Numerical examples are given in this paper.