TITLE:
Constraint Optimal Selection Techniques (COSTs) for Linear Programming
AUTHORS:
Goh Saito, H. W. Corley, Jay M. Rosenberger
KEYWORDS:
Linear Programming; Large-Scale Linear Programming; Cutting Planes; Active-Set Methods; Constraint Selection; COSTs
JOURNAL NAME:
American Journal of Operations Research,
Vol.3 No.1,
January
30,
2013
ABSTRACT: We describe a new active-set, cutting-plane Constraint Optimal Selection Technique (COST) for solving general linear programming problems. We describe strategies to bound the initial problem and simultaneously add multiple constraints. We give an interpretation of the new COST’s selection rule, which considers both the depth of constraints as well as their angles from the objective function. We provide computational comparisons of the COST with existing linear programming algorithms, including other COSTs in the literature, for some large-scale problems. Finally, we discuss conclusions and future research.