The Mosek Interior Point Optimizer for Linear Programming: An Implementation of the Homogeneous Algorithm

The purpose of this work is to present the MOSEK optimizer intended for solution of large-scale sparse linear programs. The optimizer is based on the homogeneous interior-point algorithm which in contrast to the primal-dual algorithm detects a possible primal or dual infeasibility reliably. It employs advanced (parallelized) linear algebra, it handles dense columns in the constraint matrix efficiently, and it has a basis identification procedure.

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