I thought that the three different basis factorization methods that Andrew
developed were meant to improve numerical stability (at the cost of speed).
Has anyone tried these?
Using "glpsol" the options are (this comes from the glpsol --help usage
statement):
LP basis factorization options:
--luf LU + Forrest-Tomlin update
(faster, less stable; default)
--cbg LU + Schur complement + Bartels-Golub update
(slower, more stable)
--cgr LU + Schur complement + Givens rotation update
(slower, more stable)
And using the C library the options to run these factorizations are found in
the glp_bfcp control structure. The below comes from the GLPK documentation.
int type (default: GLP_BF_FT)
Basis factorization type:
GLP_BF_FT - LU + Forrest{Tomlin update;
GLP_BF_BG - LU + Schur complement + Bartels-Golub update;
GLP_BF_GR - LU + Schur complement + Givens rotation update.
In case of GLP_BF_FT the update is applied to matrix U, while in cases
of GLP_BF_BG and GLP_BF_GR the update is applied to the Schur complement.
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