LOQO: An Interior Point Code for Quadratic Programming
Robert Vanderbei
This paper describes a software package, called LOQO, which
implements a primal-dual interior-point method for linear and
quadratic programming. We describe in detail the algorithm
emphasizing, in particular, the benefits of constructing primal-dual
interior-point methods that preserve primal-dual symmetry. We show
that the industry standard MPS format fits nicely into the symmetric
formulation paradigm. Computational results are included showing,
among other things, that LOQO solves the entire NETLIB suite of
linear programs 2.25 times faster than CPlex-barrier and is 250
times faster on at least one problem in this suite.
Technical Report SOR 94--15,
Program in Statistics & Operations Research, Princeton University,
February 1995.
Contact: rvdb@princeton.edu
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