Open bchevalier opened 8 years ago
It implies the implementation of the LU decomposition method.
This should improve resolution times on most problems (especially on mix integer problems) and will dramatically reduce errors due to numerical instability of the traditional simplex.
Most of the details of the algorithm are on this slides: http://faculty.chicagobooth.edu/kipp.martin/root/htmls/coursework/36900/handouts/simplex2.pdf (What is missing though is how to dynamically update the LU decomposition matrix instead of computing it from scratch at every iteration).
It implies the implementation of the LU decomposition method.
This should improve resolution times on most problems (especially on mix integer problems) and will dramatically reduce errors due to numerical instability of the traditional simplex.
Most of the details of the algorithm are on this slides: http://faculty.chicagobooth.edu/kipp.martin/root/htmls/coursework/36900/handouts/simplex2.pdf (What is missing though is how to dynamically update the LU decomposition matrix instead of computing it from scratch at every iteration).