On the Factorization of Simplex Basis Matrices
Robert Luce, Jurjen Duintjer Tebbens, Jörg Liesen, Robert Nabben, Martin Grötschel, Thorsten Koch, Olaf Schenk · 2009
In the simplex algorithm, solving linear systems with the basis matrix and its transpose accounts for a large part of the total computation time. The most widely used solution technique is sparse LU factorization, paired with an updating scheme that allows to use the factors over several iterations. Clearly, small number of fill-in elements in the LU factors is critical for the overall performance. Using a wide range of LPs we show numerically that after a simple permutation the nontriangular part of the basis matrix is so small, that the whole matrix can be factorized with (relative) fill-in close to the optimum. This permutation has been exploited by simplex practitioners for many years. But to our knowledge no systematic numerical study has been published that demonstrates the effective reduction to a surprisingly small non-triangular problem, even for large scale LPs. For the factorization of the non-triangular part most existing simplex codes use some variant of dynamic Markowitz pivoting, which originated in the late 1950s. We also show numerically that, in terms of fill-in and in the simplex context, dynamic Markowitz is quite consistently superior to