Interior Point Algorithm for Linear Programming. Mathematica 5.0 (2003)

This is an implementation of an infeasible predictor-corrector interior point algorithm which is able to handle very large scale linear programming problems. It is available through the LinearProgramming function. Here is an example of solving a linear programming problem of 16558 constraints and 48763 variables. It took 83 seconds.

In[4]:= pds10=ExampleData[{"LinearProgramming","pds-10"}];

In[5]:= solution=LinearProgramming@@pds10;//Timing

Out[5]= {83.1124, Null}

In[6]:= pds10[[2]]

Out[6]= SparseArray[<106436>, {16558, 48763}]