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Khalid El Yassini - A two parameter mixed penalty algorithm for linear programming
KHALID EL YASSINI, Département de mathématiques et d'informatique, Université de Sherbrooke, Sherbrooke, Québec J1K 2R1, Canada | |
A two parameter mixed penalty algorithm for linear programming |
We describe a primal-dual interior-exterior algorithm for linear programming problem. The algorithm is based on path following idea and uses a two parameter mixed penalty function. Each iteration updates the penalty parameters and finds an approximate solution of Karush-Kuhn-Tucker system of equations which characterizes a solution of the mixed penalty function. The approximate solution obtained gives a dual and a lambda-feasible primal points which converge to dual and primal solutions.
eo@camel.math.ca