On Implementing a Two-Step Interior Point Method for Solving Linear Programs

Abstract

A new two-step interior point method for solving linear programs is presented. The technique uses a convex combination of the auxiliary and central points to compute the search direction. To update the central point, we find the best value for step size such that the feasibility condition is held. Since we use the information from the previous iteration to find the search direction, the inverse of the system is evaluated only once every iteration. A detailed empirical evaluation is performed on NETLIB instances, which compares two variants of the approach to the primal-dual log barrier interior point method. Results show that the proposed method is faster. The method reduces the number of iterations and CPU time(s) by 27% and 18%, respectively, on NETLIB instances tested compared to the classical interior point algorithm.

Keywords

• linear programming
• interior point method
• Newton method