Given the wide range of optimization methods, which is the appropriate method to use? I am thinking of using either linear programming (interior-point methods) or augmented Lagrangian methods. Which method will be more approriate for large scale linear problem with equality constraint? Thank you.
Optimization for large scale linear problem with equality constraint
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optimization
linear-programming
numerical-optimization
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0I am thinking more from the perspective of the method's strengths. I am more inclined to use augmented Lagrangian method than linear programming, as it is easier to understand. Is there any other strengths of the augmented Lagrangian method over linear programming? – 2012-03-12
1 Answers
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I would recommend you to grab a copy of matlab as many linear programming algorithms are implemented and you can directly compare how they perform on your data.
However it should also be a good hint to see what they use for your problem:
The default large-scale method is based on LIPSOL ([52]), which is a variant of Mehrotra's predictor-corrector algorithm ([47]), a primal-dual interior-point method.