Article ID: | iaor20031620 |
Country: | Netherlands |
Volume: | 140 |
Issue: | 2 |
Start Page Number: | 170 |
End Page Number: | 190 |
Publication Date: | Jul 2002 |
Journal: | European Journal of Operational Research |
Authors: | Terlaky Tams, Ills Tibor |
Keywords: | interior point methods, duality |
Linear optimization (LO) is the fundamental problem of mathematical optimization. It admits an enormous number of applications in economics, engineering, science and many other fields. The three most significant classes of algorithms for solving LO problems are: pivot, ellipsoid and interior point methods. Because ellipsoid methods are not efficient in practice we will concentrate on the computationally successful simplex and primal–dual interior point methods only, and summarize the pros and cons of these algorithm classes.