Closed dane-unltd closed 5 years ago
Closing because this repository is no longer maintained. Development has moved to https://github.com/gonum/gonum.
I think it would be worth having this class of algorithms in Gonum, so @dane-unltd please feel free to submit a new PR in the new repository if you are still around and interested.
The interior point solvers I have written some time ago. There is a lot of code in there and not much documentation ... It is mostly based on the descriptions in http://www.siam.org/books/swright/ with some additional information on the self-dual approach from papers like http://link.springer.com/article/10.1007%2FBF02206815
The self-dual algorithm is preferred since it deals better with infeasible problems. I do not actually use the code, but both methods seem to work satisfactory. However, using the same tests as for the simplex algorithm, I had to reduce the tolerances when checking the output. The tolerances should probably be fixed anyway and not chosen by the user.
If you guys think that this would be a useful addition to the optimization package I will leave this pull-request open and try to clean up the code and add some documentation when I got some time.