Which linear programming package should I use for high numbers of constraints and "warm starts"

Posted by davidsd on Stack Overflow See other posts from Stack Overflow or by davidsd
Published on 2010-04-28T04:47:21Z Indexed on 2010/04/28 4:53 UTC
Read the original article Hit count: 357

Filed under:

I have a "continuous" linear programming problem that involves maximizing a linear function over a curved convex space. In typical LP problems, the convex space is a polytope, but in this case the convex space is piecewise curved -- that is, it has faces, edges, and vertices, but the edges aren't straight and the faces aren't flat. Instead of being specified by a finite number of linear inequalities, I have a continuously infinite number. I'm currently dealing with this by approximating the surface by a polytope, which means discretizing the continuously infinite constraints into a very large finite number of constraints.

I'm also in the situation where I'd like to know how the answer changes under small perturbations to the underlying problem. Thus, I'd like to be able to supply an initial condition to the solver based on a nearby solution. I believe this capability is called a "warm start."

Can someone help me distinguish between the various LP packages out there? I'm not so concerned with user-friendliness as speed (for large numbers of constraints), high-precision arithmetic, and warm starts.

Thanks!

© Stack Overflow or respective owner

Related posts about linear-programming