CODEWITHSUNDEEP
matlaboptimizationmathematical-optimizationlinear-programmingipopt
Sampath Kumar
Sampath Kumar

Reputation: 19

Interior-point linear programing solver in MATLAB, with target barrier parameter option

Is there any linear programing solver, written for MATLAB, that (a) solves with the primal-dual interior point method, (b) the user has the options to set the target barrier parameter (he lowest value of barrier parameter for which the KKT system is solved)?

I currently use IPOPT, which has the target barrier parameter options. However, at convergence, the product of dual*slack seems to only be approximately satisfied (with an error of say (+-)1e-7 for a target parameter of 1e-5). I have tried to play around with the tolerances, but to no avail.

Upvotes: 1

Views: 174

Answers (1)

juju89
juju89

Reputation: 549

For MATLAB use, I recommend using CVX, which includes Gurobi, MOSEK, GLPK, and SDPT3. All of those can solve the linear program very efficiently.

CVX is very easy to use in MATLAB.

Upvotes: 1

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