Linear programming

Linear programming (LP), also called linear optimization, is a

method to achieve the best outcome (such as maximum profit or
lowest cost) in a mathematical model whose requirements are
represented by linear relationships. Linear programming is a special
case of mathematical programming (also known as mathematical
optimization).

More formally, linear programming is a technique for the

optimization of a linear objective function, subject to linear equality
and linear inequality constraints. Its feasible region is a convex
polytope, which is a set defined as the intersection of finitely many
half spaces, each of which is defined by a linear inequality. Its
objective function is a real-valued affine (linear) function defined A pictorial representation of a simple
on this polyhedron. A linear programming algorithm finds a point linear program with two variables and
in the polytope where this function has the smallest (or largest) six inequalities. The set of feasible
value if such a point exists. solutions is depicted in yellow and
forms a polygon, a 2-dimensional
Linear programs are problems that can be expressed in canonical polytope. The optimum of the linear
form as cost function is where the red line
intersects the polygon. The red line
is a level set of the cost function,
and the arrow indicates the direction
in which we are optimizing.

Here the components of x are the variables to be determined, c and

b are given vectors (with indicating that the coefficients of c are
used as a single-row matrix for the purpose of forming the matrix
product), and A is a given matrix. The function whose value is to
be maximized or minimized ( in this case) is called the
objective function. The inequalities Ax  ≤  b and x ≥ 0 are the
constraints which specify a convex polytope over which the
objective function is to be optimized. In this context, two vectors
are comparable when they have the same dimensions. If every
entry in the first is less-than or equal-to the corresponding entry in
the second, then it can be said that the first vector is less-than or A closed feasible region of a problem
equal-to the second vector. with three variables is a convex
polyhedron. The surfaces giving a
Linear programming can be applied to various fields of study. It is fixed value of the objective function
widely used in mathematics and, to a lesser extent, in business, are planes (not shown). The linear
economics, and some engineering problems. Industries that use programming problem is to find a
linear programming models include transportation, energy, point on the polyhedron that is on the
telecommunications, and manufacturing. It has proven useful in plane with the highest possible
modeling diverse types of problems in planning, routing, value.
scheduling, assignment, and design.
Contents
History
Uses
Standard form
Example
Augmented form (slack form)
Example
Duality
Variations
Covering/packing dualities
Examples
Complementary slackness
Theory
Existence of optimal solutions
Optimal vertices (and rays) of polyhedra
Algorithms
Basis exchange algorithms
Simplex algorithm of Dantzig
Criss-cross algorithm
Interior point
Ellipsoid algorithm, following Khachiyan
Projective algorithm of Karmarkar
Vaidya's 87 algorithm
Vaidya's 89 algorithm
Input sparsity time algorithms
Current matrix multiplication time algorithm
Comparison of interior-point methods and simplex algorithms
Open problems and recent work
Integer unknowns
Integral linear programs
Solvers and scripting (programming) languages
See also
Notes
References
Further reading
External links

History
The problem of solving a system of linear inequalities dates back at
least as far as Fourier, who in 1827 published a method for solving
them,[1] and after whom the method of Fourier–Motzkin
elimination is named.

In 1939 a linear programming formulation of a problem that is

equivalent to the general linear programming problem was given by
the Soviet mathematician and economist Leonid Kantorovich, who
also proposed a method for solving it.[2] It is a way he developed,
during World War II, to plan expenditures and returns in order to
reduce costs of the army and to increase losses imposed on the
enemy. Kantorovich's work was initially neglected in the USSR.[3]
About the same time as Kantorovich, the Dutch-American
economist T. C. Koopmans formulated classical economic
problems as linear programs. Kantorovich and Koopmans later
shared the 1975 Nobel prize in economics.[1] In 1941, Frank Leonid Kantorovich
Lauren Hitchcock also formulated transportation problems as linear
programs and gave a solution very similar to the later simplex
method.[2] Hitchcock had died in 1957, and the Nobel prize is not
awarded posthumously.

From 1946 to 1947 George B. Dantzig independently developed

general linear programming formulation to use for planning
problems in the US Air Force.[4] In 1947, Dantzig also invented
the simplex method that, for the first time efficiently, tackled the
linear programming problem in most cases.[4] When Dantzig
arranged a meeting with John von Neumann to discuss his simplex
method, Neumann immediately conjectured the theory of duality by
realizing that the problem he had been working in game theory was
equivalent.[4] Dantzig provided formal proof in an unpublished
report "A Theorem on Linear Inequalities" on January 5, 1948.[3]
Dantzig's work was made available to public in 1951. In the post-
war years, many industries applied it in their daily planning.
John von Neumann
Dantzig's original example was to find the best assignment of 70
people to 70 jobs. The computing power required to test all the
permutations to select the best assignment is vast; the number of possible configurations exceeds the
number of particles in the observable universe. However, it takes only a moment to find the optimum
solution by posing the problem as a linear program and applying the simplex algorithm. The theory behind
linear programming drastically reduces the number of possible solutions that must be checked.

The linear programming problem was first shown to be solvable in polynomial time by Leonid Khachiyan
in 1979,[5] but a larger theoretical and practical breakthrough in the field came in 1984 when Narendra
Karmarkar introduced a new interior-point method for solving linear-programming problems.[6]

Uses
Linear programming is a widely used field of optimization for several reasons. Many practical problems in
operations research can be expressed as linear programming problems.[3] Certain special cases of linear
programming, such as network flow problems and multicommodity flow problems, are considered important
enough to have much research on specialized algorithms. A number of algorithms for other types of
optimization problems work by solving linear programming problems as sub-problems. Historically, ideas
from linear programming have inspired many of the central concepts of optimization theory, such as duality,
decomposition, and the importance of convexity and its generalizations. Likewise, linear programming was
heavily used in the early formation of microeconomics, and it is currently utilized in company management,
such as planning, production, transportation, and technology. Although the modern management issues are
ever-changing, most companies would like to maximize profits and minimize costs with limited resources.
Google also uses linear programming to stabilize YouTube videos.[7]

Standard form
Standard form is the usual and most intuitive form of describing a linear programming problem. It consists
of the following three parts:

A linear function to be maximized

e.g.

Problem constraints of the following form

e.g.

Non-negative variables

e.g.

The problem is usually expressed in matrix form, and then becomes:

Other forms, such as minimization problems, problems with constraints on alternative forms, and problems
involving negative variables can always be rewritten into an equivalent problem in standard form.

Example

Suppose that a farmer has a piece of farm land, say L km2 , to be planted with either wheat or barley or
some combination of the two. The farmer has a limited amount of fertilizer, F kilograms, and pesticide, P
kilograms. Every square kilometer of wheat requires F1 kilograms of fertilizer and P1 kilograms of
pesticide, while every square kilometer of barley requires F2 kilograms of fertilizer and P2 kilograms of
pesticide. Let S1 be the selling price of wheat per square kilometer, and S2 be the selling price of barley. If
we denote the area of land planted with wheat and barley by x1 and x2 respectively, then profit can be
maximized by choosing optimal values for x1 and x2 . This problem can be expressed with the following
linear programming problem in the standard form:
Maximize: (maximize the revenue (the total wheat sales plus the total
barley sales) – revenue is the "objective function")
Subject
(limit on total area)
to:
(limit on fertilizer)
(limit on pesticide)
(cannot plant a negative area).

In matrix form this becomes:

maximize

subject to

Augmented form (slack form)

Linear programming problems can be converted into an augmented form in order to apply the common
form of the simplex algorithm. This form introduces non-negative slack variables to replace inequalities
with equalities in the constraints. The problems can then be written in the following block matrix form:

Maximize :

where are the newly introduced slack variables, are the decision variables, and is the variable to be
maximized.

Example

The example above is converted into the following augmented form:

Maximize: (objective function)

subject to: (augmented constraint)
(augmented constraint)
(augmented constraint)

where are (non-negative) slack variables, representing in this example the unused area, the
amount of unused fertilizer, and the amount of unused pesticide.

In matrix form this becomes:

Maximize :
Duality
Every linear programming problem, referred to as a primal problem, can be converted into a dual problem,
which provides an upper bound to the optimal value of the primal problem. In matrix form, we can express
the primal problem as:

Maximize cTx subject to Ax ≤ b, x ≥ 0;

with the corresponding symmetric dual problem,

Minimize bTy subject to ATy ≥ c, y ≥ 0.

An alternative primal formulation is:

Maximize cTx subject to Ax ≤ b;

with the corresponding asymmetric dual problem,

Minimize bTy subject to ATy = c, y ≥ 0.

There are two ideas fundamental to duality theory. One is the fact that (for the symmetric dual) the dual of a
dual linear program is the original primal linear program. Additionally, every feasible solution for a linear
program gives a bound on the optimal value of the objective function of its dual. The weak duality theorem
states that the objective function value of the dual at any feasible solution is always greater than or equal to
the objective function value of the primal at any feasible solution. The strong duality theorem states that if
the primal has an optimal solution, x* , then the dual also has an optimal solution, y* , and cTx* =bTy* .

A linear program can also be unbounded or infeasible. Duality theory tells us that if the primal is
unbounded then the dual is infeasible by the weak duality theorem. Likewise, if the dual is unbounded,
then the primal must be infeasible. However, it is possible for both the dual and the primal to be infeasible.
See dual linear program for details and several more examples.

Variations

Covering/packing dualities

A covering LP is a linear program of the form:

Minimize: bTy,
subject to: ATy ≥ c, y ≥ 0,
such that the matrix A and the vectors b and c are non-negative.
The dual of a covering LP is a packing LP, a linear program of the form:

Maximize: cTx,
subject to: Ax ≤ b, x ≥ 0,
such that the matrix A and the vectors b and c are non-negative.

Examples

Covering and packing LPs commonly arise as a linear programming relaxation of a combinatorial problem
and are important in the study of approximation algorithms.[8] For example, the LP relaxations of the set
packing problem, the independent set problem, and the matching problem are packing LPs. The LP
relaxations of the set cover problem, the vertex cover problem, and the dominating set problem are also
covering LPs.

Finding a fractional coloring of a graph is another example of a covering LP. In this case, there is one
constraint for each vertex of the graph and one variable for each independent set of the graph.

Complementary slackness
It is possible to obtain an optimal solution to the dual when only an optimal solution to the primal is known
using the complementary slackness theorem. The theorem states:

Suppose that x  =  (x1 ,  x2 ,  ...  ,  xn ) is primal feasible and that y  =  (y1 ,  y2 ,  ...  ,  ym) is dual feasible. Let
(w1 ,  w2 ,  ...,  wm) denote the corresponding primal slack variables, and let (z1 ,  z2 ,  ...  ,  zn ) denote the
corresponding dual slack variables. Then x and y are optimal for their respective problems if and only if

xj zj = 0, for j = 1, 2, ... , n, and

wi yi = 0, for i = 1, 2, ... , m.

So if the i-th slack variable of the primal is not zero, then the i-th variable of the dual is equal to zero.
Likewise, if the j-th slack variable of the dual is not zero, then the j-th variable of the primal is equal to zero.

This necessary condition for optimality conveys a fairly simple economic principle. In standard form (when
maximizing), if there is slack in a constrained primal resource (i.e., there are "leftovers"), then additional
quantities of that resource must have no value. Likewise, if there is slack in the dual (shadow) price non-
negativity constraint requirement, i.e., the price is not zero, then there must be scarce supplies (no
"leftovers").

Theory

Existence of optimal solutions

Geometrically, the linear constraints define the feasible region, which is a convex polyhedron. A linear
function is a convex function, which implies that every local minimum is a global minimum; similarly, a
linear function is a concave function, which implies that every local maximum is a global maximum.
An optimal solution need not exist, for two reasons. First, if the constraints are inconsistent, then no feasible
solution exists: For instance, the constraints x ≥ 2 and x ≤ 1 cannot be satisfied jointly; in this case, we say
that the LP is infeasible. Second, when the polytope is unbounded in the direction of the gradient of the
objective function (where the gradient of the objective function is the vector of the coefficients of the
objective function), then no optimal value is attained because it is always possible to do better than any
finite value of the objective function.

Optimal vertices (and rays) of polyhedra

Otherwise, if a feasible solution exists and if the constraint set is bounded, then the optimum value is
always attained on the boundary of the constraint set, by the maximum principle for convex functions
(alternatively, by the minimum principle for concave functions) since linear functions are both convex and
concave. However, some problems have distinct optimal solutions; for example, the problem of finding a
feasible solution to a system of linear inequalities is a linear programming problem in which the objective
function is the zero function (that is, the constant function taking the value zero everywhere). For this
feasibility problem with the zero-function for its objective-function, if there are two distinct solutions, then
every convex combination of the solutions is a solution.

The vertices of the polytope are also called basic feasible solutions. The reason for this choice of name is as
follows. Let d denote the number of variables. Then the fundamental theorem of linear inequalities implies
(for feasible problems) that for every vertex x* of the LP feasible region, there exists a set of d (or fewer)
inequality constraints from the LP such that, when we treat those d constraints as equalities, the unique
solution is x* . Thereby we can study these vertices by means of looking at certain subsets of the set of all
constraints (a discrete set), rather than the continuum of LP solutions. This principle underlies the simplex
algorithm for solving linear programs.

Algorithms

Basis exchange algorithms

Simplex algorithm of Dantzig

The simplex algorithm, developed by George Dantzig in 1947,

solves LP problems by constructing a feasible solution at a
vertex of the polytope and then walking along a path on the
edges of the polytope to vertices with non-decreasing values of
the objective function until an optimum is reached for sure. In
many practical problems, "stalling" occurs: many pivots are
made with no increase in the objective function.[9][10] In rare
practical problems, the usual versions of the simplex algorithm
In a linear programming problem, a series
may actually "cycle".[10] To avoid cycles, researchers of linear constraints produces a convex
developed new pivoting rules.[11][12][9][10][13][14] feasible region of possible values for
those variables. In the two-variable case
In practice, the simplex algorithm is quite efficient and can be
this region is in the shape of a convex
guaranteed to find the global optimum if certain precautions simple polygon.
against cycling are taken. The simplex algorithm has been
proved to solve "random" problems efficiently, i.e. in a cubic
number of steps,[15] which is similar to its behavior on practical problems.[9][16]
However, the simplex algorithm has poor worst-case behavior: Klee and Minty constructed a family of
linear programming problems for which the simplex method takes a number of steps exponential in the
problem size.[9][12][13] In fact, for some time it was not known whether the linear programming problem
was solvable in polynomial time, i.e. of complexity class P.

Criss-cross algorithm

Like the simplex algorithm of Dantzig, the criss-cross algorithm is a basis-exchange algorithm that pivots
between bases. However, the criss-cross algorithm need not maintain feasibility, but can pivot rather from a
feasible basis to an infeasible basis. The criss-cross algorithm does not have polynomial time-complexity for
linear programming. Both algorithms visit all 2D corners of a (perturbed) cube in dimension D, the Klee–
Minty cube, in the worst case.[14][17]

Interior point

In contrast to the simplex algorithm, which finds an optimal solution by traversing the edges between
vertices on a polyhedral set, interior-point methods move through the interior of the feasible region.

Ellipsoid algorithm, following Khachiyan

This is the first worst-case polynomial-time algorithm ever found for linear programming. To solve a
problem which has n variables and can be encoded in L input bits, this algorithm runs in time.[5]
Leonid Khachiyan solved this long-standing complexity issue in 1979 with the introduction of the ellipsoid
method. The convergence analysis has (real-number) predecessors, notably the iterative methods developed
by Naum Z. Shor and the approximation algorithms by Arkadi Nemirovski and D. Yudin.

Projective algorithm of Karmarkar

Khachiyan's algorithm was of landmark importance for establishing the polynomial-time solvability of
linear programs. The algorithm was not a computational break-through, as the simplex method is more
efficient for all but specially constructed families of linear programs.

However, Khachiyan's algorithm inspired new lines of research in linear programming. In 1984, N.
Karmarkar proposed a projective method for linear programming. Karmarkar's algorithm[6] improved on
Khachiyan's[5] worst-case polynomial bound (giving ). Karmarkar claimed that his algorithm
was much faster in practical LP than the simplex method, a claim that created great interest in interior-point
methods.[18] Since Karmarkar's discovery, many interior-point methods have been proposed and analyzed.

Vaidya's 87 algorithm

In 1987, Vaidya proposed an algorithm that runs in time.[19]

Vaidya's 89 algorithm

In 1989, Vaidya developed an algorithm that runs in time.[20] Formally speaking, the algorithm
takes arithmetic operations in the worst case, where is the number of constraints, is
the number of variables, and is the number of bits.
Input sparsity time algorithms

In 2015, Lee and Sidford showed that, it can be solved in time,[21] where
represents the number of non-zero elements, and it remains taking in the worst case.

Current matrix multiplication time algorithm

In 2019, Cohen, Lee and Song improved the running time to time, is
the exponent of matrix multiplication and is the dual exponent of matrix multiplication. [22] is (roughly)
defined to be the largest number such that one can multiply an matrix by a matrix in
time. In a followup work by Lee, Song and Zhang, they reproduce the same result via a different
method.[23] These two algorithms remain when and . The result due to Jiang,
Song, Weinstein and Zhang improved to .[24]

Comparison of interior-point methods and simplex algorithms

The current opinion is that the efficiencies of good implementations of simplex-based methods and interior
point methods are similar for routine applications of linear programming. However, for specific types of LP
problems, it may be that one type of solver is better than another (sometimes much better), and that the
structure of the solutions generated by interior point methods versus simplex-based methods are
significantly different with the support set of active variables being typically smaller for the latter one.[25]

Open problems and recent work

Unsolved problem in computer science:
Does linear programming admit a strongly polynomial-time algorithm?
(more unsolved problems in computer science)

There are several open problems in the theory of linear programming, the solution of which would
represent fundamental breakthroughs in mathematics and potentially major advances in our ability to solve
large-scale linear programs.

Does LP admit a strongly polynomial-time algorithm?

Does LP admit a strongly polynomial-time algorithm to find a strictly complementary
solution?
Does LP admit a polynomial-time algorithm in the real number (unit cost) model of
computation?

This closely related set of problems has been cited by Stephen Smale as among the 18 greatest unsolved
problems of the 21st century. In Smale's words, the third version of the problem "is the main unsolved
problem of linear programming theory." While algorithms exist to solve linear programming in weakly
polynomial time, such as the ellipsoid methods and interior-point techniques, no algorithms have yet been
found that allow strongly polynomial-time performance in the number of constraints and the number of
variables. The development of such algorithms would be of great theoretical interest, and perhaps allow
practical gains in solving large LPs as well.

Although the Hirsch conjecture was recently disproved for higher dimensions, it still leaves the following
questions open.
 Are there pivot rules which lead to polynomial-time simplex variants?
Do all polytopal graphs have polynomially bounded diameter?

These questions relate to the performance analysis and development of simplex-like methods. The immense
efficiency of the simplex algorithm in practice despite its exponential-time theoretical performance hints that
there may be variations of simplex that run in polynomial or even strongly polynomial time. It would be of
great practical and theoretical significance to know whether any such variants exist, particularly as an
approach to deciding if LP can be solved in strongly polynomial time.

The simplex algorithm and its variants fall in the family of edge-following algorithms, so named because
they solve linear programming problems by moving from vertex to vertex along edges of a polytope. This
means that their theoretical performance is limited by the maximum number of edges between any two
vertices on the LP polytope. As a result, we are interested in knowing the maximum graph-theoretical
diameter of polytopal graphs. It has been proved that all polytopes have subexponential diameter. The
recent disproof of the Hirsch conjecture is the first step to prove whether any polytope has superpolynomial
diameter. If any such polytopes exist, then no edge-following variant can run in polynomial time. Questions
about polytope diameter are of independent mathematical interest.

Simplex pivot methods preserve primal (or dual) feasibility. On the other hand, criss-cross pivot methods do
not preserve (primal or dual) feasibility  – they may visit primal feasible, dual feasible or primal-and-dual
infeasible bases in any order. Pivot methods of this type have been studied since the 1970s. Essentially,
these methods attempt to find the shortest pivot path on the arrangement polytope under the linear
programming problem. In contrast to polytopal graphs, graphs of arrangement polytopes are known to have
small diameter, allowing the possibility of strongly polynomial-time criss-cross pivot algorithm without
resolving questions about the diameter of general polytopes.[14]

Integer unknowns
If all of the unknown variables are required to be integers, then the problem is called an integer
programming (IP) or integer linear programming (ILP) problem. In contrast to linear programming,
which can be solved efficiently in the worst case, integer programming problems are in many practical
situations (those with bounded variables) NP-hard. 0–1 integer programming or binary integer
programming (BIP) is the special case of integer programming where variables are required to be 0 or 1
(rather than arbitrary integers). This problem is also classified as NP-hard, and in fact the decision version
was one of Karp's 21 NP-complete problems.

If only some of the unknown variables are required to be integers, then the problem is called a mixed
integer (linear) programming (MIP or MILP) problem. These are generally also NP-hard because they
are even more general than ILP programs.

There are however some important subclasses of IP and MIP problems that are efficiently solvable, most
notably problems where the constraint matrix is totally unimodular and the right-hand sides of the
constraints are integers or – more general – where the system has the total dual integrality (TDI) property.

Advanced algorithms for solving integer linear programs include:

cutting-plane method
Branch and bound
Branch and cut
Branch and price
 if the problem has some extra structure, it may be possible to apply delayed column
generation.

Such integer-programming algorithms are discussed by Padberg and in Beasley.

Integral linear programs

A linear program in real variables is said to be integral if it has at least one optimal solution which is
integral, i.e., made of only integer values. Likewise, a polyhedron is said to be
integral if for all bounded feasible objective functions c, the linear program has an
optimum with integer coordinates. As observed by Edmonds and Giles in 1977, one can equivalently
say that the polyhedron is integral if for every bounded feasible integral objective function c, the optimal
value of the linear program is an integer.

Integral linear programs are of central importance in the polyhedral aspect of combinatorial optimization
since they provide an alternate characterization of a problem. Specifically, for any problem, the convex hull
of the solutions is an integral polyhedron; if this polyhedron has a nice/compact description, then we can
efficiently find the optimal feasible solution under any linear objective. Conversely, if we can prove that a
linear programming relaxation is integral, then it is the desired description of the convex hull of feasible
(integral) solutions.

Terminology is not consistent throughout the literature, so one should be careful to distinguish the following
two concepts,

in an integer linear program, described in the previous section, variables are forcibly
constrained to be integers, and this problem is NP-hard in general,
in an integral linear program, described in this section, variables are not constrained to be
integers but rather one has proven somehow that the continuous problem always has an
integral optimal value (assuming c is integral), and this optimal value may be found
efficiently since all polynomial-size linear programs can be solved in polynomial time.

One common way of proving that a polyhedron is integral is to show that it is totally unimodular. There are
other general methods including the integer decomposition property and total dual integrality. Other specific
well-known integral LPs include the matching polytope, lattice polyhedra, submodular flow polyhedra, and
the intersection of two generalized polymatroids/g-polymatroids – e.g. see Schrijver 2003.

Solvers and scripting (programming) languages

Permissive licenses:

Name License Brief info

MIT
Gekko Open-source library for solving large-scale LP, QP, QCQP, NLP, and MIP optimization
License
GLOP Apache v2 Google's open-source linear programming solver
An open-source modeling language for large-scale linear, mixed integer and nonlinear
Pyomo BSD
optimization
an open-source suite of optimization algorithms to solve LP, QP, SOCP, SDP, SQP in
SuanShu Apache v2
Java

Copyleft (reciprocal) licenses:

 Name License Brief info
ALGLIB GPL 2+ an LP solver from ALGLIB project (C++, C#, Python)
Cassowary
an incremental constraint solving toolkit that efficiently solves systems of linear
constraint LGPL
equalities and inequalities
solver
CLP CPL an LP solver from COIN-OR
GNU Linear Programming Kit, an LP/MILP solver with a native C API and numerous (15)
glpk GPL third-party wrappers for other languages. Specialist support for flow networks. Bundles
the AMPL-like GNU MathProg modelling language and translator.
Qoca GPL a library for incrementally solving systems of linear equations with various goal functions
a programming language and software environment for statistical computing and
R-Project GPL
graphics

MINTO (Mixed Integer Optimizer, an integer programming solver which uses branch and bound
algorithm) has publicly available source code[26] but is not open source.

Proprietary licenses:
 Name Brief info
A modeling language that allows to model linear, mixed integer, and nonlinear optimization
models. It also offers a tool for constraint programming. Algorithm, in the forms of heuristics or
AIMMS exact methods, such as Branch-and-Cut or Column Generation, can also be implemented. The
tool calls an appropriate solver such as CPLEX or similar, to solve the optimization problem at
hand. Academic licenses are free of charge.
ALGLIB A commercial edition of the copyleft licensed library. C++, C#, Python.
A popular modeling language for large-scale linear, mixed integer and nonlinear optimisation with a
AMPL
free student limited version available (500 variables and 500 constraints).
A general modeling language and interactive development environment. Its influence diagrams
enable users to formulate problems as graphs with nodes for decision variables, objectives, and
Analytica constraints. Analytica Optimizer Edition includes linear, mixed integer, and nonlinear solvers and
selects the solver to match the problem. It also accepts other engines as plug-ins, including
XPRESS, Gurobi, Artelys Knitro, and MOSEK.
API to MATLAB and Python. Solve example Linear Programming (LP) problems through
APMonitor
MATLAB, Python, or a web-interface.
Popular solver with an API for several programming languages, and also has a modelling
CPLEX language and works with AIMMS, AMPL, GAMS, MPL, OpenOpt, OPL Development Studio, and
TOMLAB. Free for academic use.
Excel Solver A nonlinear solver adjusted to spreadsheets in which function evaluations are based on the
Function recalculating cells. Basic version available as a standard add-on for Excel.
FortMP
GAMS
IMSL Collections of math and statistical algorithms available in C/C++, Fortran, Java and C#/.NET.
Numerical Optimization routines in the IMSL Libraries include unconstrained, linearly and nonlinearly
Libraries constrained minimizations, and linear programming algorithms.
Solver with an API for large scale optimization of linear, integer, quadratic, conic and general
nonlinear programs with stochastic programming extensions. It offers a global optimization
procedure for finding guaranteed globally optimal solution to general nonlinear programs with
LINDO
continuous and discrete variables. It also has a statistical sampling API to integrate Monte-Carlo
simulations into an optimization framework. It has an algebraic modeling language (LINGO) and
allows modeling within a spreadsheet (What'sBest).
Maple A general-purpose programming-language for symbolic and numerical computing.
A general-purpose and matrix-oriented programming-language for numerical computing. Linear
MATLAB programming in MATLAB requires the Optimization Toolbox in addition to the base MATLAB
product; available routines include INTLINPROG and LINPROG
A WYSIWYG math editor. It has functions for solving both linear and nonlinear optimization
Mathcad
problems.
A general-purpose programming-language for mathematics, including symbolic and numerical
Mathematica
capabilities.
A solver for large scale optimization with API for several languages (C++,java,.net, Matlab and
MOSEK
python).
A collection of mathematical and statistical routines developed by the Numerical Algorithms
Group for multiple programming languages (C, C++, Fortran, Visual Basic, Java and C#) and
NAG packages (MATLAB, Excel, R, LabVIEW). The Optimization chapter of the NAG Library includes
Numerical routines for linear programming problems with both sparse and non-sparse linear constraint
Library matrices, together with routines for the optimization of quadratic, nonlinear, sums of squares of
linear or nonlinear functions with nonlinear, bounded or no constraints. The NAG Library has
routines for both local and global optimization, and for continuous or integer problems.

OptimJ A Java-based modeling language for optimization with a free version available.[27][28]
SAS/OR A suite of solvers for Linear, Integer, Nonlinear, Derivative-Free, Network, Combinatorial and
Constraint Optimization; the Algebraic modeling language OPTMODEL; and a variety of vertical
 solutions aimed at specific problems/markets, all of which are fully integrated with the SAS
System.
A general-purpose constraint integer programming solver with an emphasis on MIP. Compatible
SCIP
with Zimpl modelling language. Free for academic use and available in source code.
Solver for large-scale linear programs, quadratic programs, general nonlinear and mixed-integer
XPRESS programs. Has API for several programming languages, also has a modelling language Mosel and
works with AMPL, GAMS. Free for academic use.
VisSim A visual block diagram language for simulation of dynamical systems.

See also
Convex programming
Dynamic programming
Expected shortfall § Optimization of expected shortfall
Input–output model
Job shop scheduling
Least absolute deviations
Least-squares spectral analysis
Linear algebra
Linear production game
Linear-fractional programming (LFP)
LP-type problem
Mathematical programming
Nonlinear programming
Oriented matroid
Quadratic programming, a superset of linear programming
Semidefinite programming
Shadow price
Simplex algorithm, used to solve LP problems

Notes
1. Gerard Sierksma; Yori Zwols (2015). Linear and Integer Optimization: Theory and Practice
(3rd ed.). CRC Press. p. 1. ISBN 978-1498710169.
2. Alexander Schrijver (1998). Theory of Linear and Integer Programming. John Wiley & Sons.
pp. 221–222. ISBN 978-0-471-98232-6.
3. George B. Dantzig (April 1982). "Reminiscences about the origins of linear programming" (ht
tps://apps.dtic.mil/sti/pdfs/ADA112060.pdf) (PDF). Operations Research Letters. 1 (2): 43–
48. doi:10.1016/0167-6377(82)90043-8 (https://doi.org/10.1016%2F0167-6377%2882%299
0043-8). Archived (https://web.archive.org/web/20150520183722/http://www.dtic.mil/cgi-bin/
GetTRDoc?Location=U2&doc=GetTRDoc.pdf&AD=ADA112060) from the original on May
20, 2015.
4. Dantzig, George B.; Thapa, Mukund Narain (1997). Linear programming. New York:
Springer. p. xxvii. ISBN 0387948333. OCLC 35318475 (https://www.worldcat.org/oclc/35318
475).
5. Leonid Khachiyan (1979). "A Polynomial Algorithm for Linear Programming". Doklady
Akademii Nauk SSSR. 224 (5): 1093–1096.
 6. Narendra Karmarkar (1984). "A New Polynomial-Time Algorithm for Linear Programming".
Combinatorica. 4 (4): 373–395. doi:10.1007/BF02579150 (https://doi.org/10.1007%2FBF025
79150). S2CID 7257867 (https://api.semanticscholar.org/CorpusID:7257867).
7. (PDF)
https://static.googleusercontent.com/media/research.google.com/en//pubs/archive/37041.pdf
(https://static.googleusercontent.com/media/research.google.com/en//pubs/archive/37041.pd
f). {{cite web}}: Missing or empty |title= (help)
8. Vazirani (2001, p. 112)
9. Dantzig & Thapa (2003)
10. Padberg (1999)
11. Bland (1977)
12. Murty (1983)
13. Papadimitriou & Steiglitz
14. Fukuda, Komei; Terlaky, Tamás (1997). Thomas M. Liebling; Dominique de Werra (eds.).
"Criss-cross methods: A fresh view on pivot algorithms". Mathematical Programming, Series
B. 79 (1–3): 369–395. CiteSeerX 10.1.1.36.9373 (https://citeseerx.ist.psu.edu/viewdoc/summ
ary?doi=10.1.1.36.9373). doi:10.1007/BF02614325 (https://doi.org/10.1007%2FBF0261432
5). MR 1464775 (https://www.ams.org/mathscinet-getitem?mr=1464775). S2CID 2794181 (h
ttps://api.semanticscholar.org/CorpusID:2794181).
15. Borgwardt (1987)
16. Todd (2002)
17. Roos, C. (1990). "An exponential example for Terlaky's pivoting rule for the criss-cross
simplex method". Mathematical Programming. Series A. 46 (1): 79–84.
doi:10.1007/BF01585729 (https://doi.org/10.1007%2FBF01585729). MR 1045573 (https://w
ww.ams.org/mathscinet-getitem?mr=1045573). S2CID 33463483 (https://api.semanticschola
r.org/CorpusID:33463483).
18. Strang, Gilbert (1 June 1987). "Karmarkar's algorithm and its place in applied mathematics".
The Mathematical Intelligencer. 9 (2): 4–10. doi:10.1007/BF03025891 (https://doi.org/10.100
7%2FBF03025891). ISSN 0343-6993 (https://www.worldcat.org/issn/0343-6993).
MR 0883185 (https://www.ams.org/mathscinet-getitem?mr=0883185). S2CID 123541868 (ht
tps://api.semanticscholar.org/CorpusID:123541868).
19. Vaidya, Pravin M. (1987). An algorithm for linear programming which requires
arithmetic operations. 28th Annual IEEE Symposium on
Foundations of Computer Science. FOCS.
20. Vaidya, Pravin M. (1989). "Speeding-up linear programming using fast matrix multiplication".
30th Annual Symposium on Foundations of Computer Science. 30th Annual Symposium on
Foundations of Computer Science. FOCS. pp. 332–337. doi:10.1109/SFCS.1989.63499 (htt
ps://doi.org/10.1109%2FSFCS.1989.63499). ISBN 0-8186-1982-1.
21. Lee, Yin-Tat; Sidford, Aaron (2015). Efficient inverse maintenance and faster algorithms for
linear programming. FOCS '15 Foundations of Computer Science. arXiv:1503.01752 (https://
arxiv.org/abs/1503.01752).
22. Cohen, Michael B.; Lee, Yin-Tat; Song, Zhao (2018). Solving Linear Programs in the Current
Matrix Multiplication Time. 51st Annual ACM Symposium on the Theory of Computing.
STOC'19. arXiv:1810.07896 (https://arxiv.org/abs/1810.07896).
23. Lee, Yin-Tat; Song, Zhao; Zhang, Qiuyi (2019). Solving Empirical Risk Minimization in the
Current Matrix Multiplication Time. Conference on Learning Theory. COLT'19.
arXiv:1905.04447 (https://arxiv.org/abs/1905.04447).
24. Jiang, Shunhua; Song, Zhao; Weinstein, Omri; Zhang, Hengjie (2020). Faster Dynamic
Matrix Inverse for Faster LPs. arXiv:2004.07470 (https://arxiv.org/abs/2004.07470).
25. Illés, Tibor; Terlaky, Tamás (2002). "Pivot versus interior point methods: Pros and cons" (http
s://strathprints.strath.ac.uk/9200/). European Journal of Operational Research. 140 (2): 170.
CiteSeerX 10.1.1.646.3539 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.646.
3539). doi:10.1016/S0377-2217(02)00061-9 (https://doi.org/10.1016%2FS0377-2217%280
2%2900061-9).
26. "COR@L – Computational Optimization Research At Lehigh" (http://coral.ie.lehigh.edu/~min
to/download.html). lehigh.edu.
27. http://www.in-ter-trans.eu/resources/Zesch_Hellingrath_2010_Integrated+Production-
Distribution+Planning.pdf OptimJ used in an optimization model for mixed-model assembly
lines, University of Münster
28. http://www.aaai.org/ocs/index.php/AAAI/AAAI10/paper/viewFile/1769/2076 OptimJ used in
an Approximate Subgame-Perfect Equilibrium Computation Technique for Repeated Games

References
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эффективном методе решения Algorithm: A Probabilistic Analysis,
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F. L. Hitchcock: The distribution of a B. Dantzig. Stanford Business Books,
product from several sources to numerous Stanford University Press, Stanford,
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of Mathematics and Physics, 20, 1941, George B. Dantzig and Mukund N. Thapa.
224–230. 1997. Linear programming 1: Introduction.
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function of variables subject to linear George B. Dantzig and Mukund N. Thapa.
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ks?hl=en&lr=&id=ZpYca36h464C&oi=fnd Extensions. Springer-Verlag.
&pg=PA24&dq=%22Maximization+of+a+li (Comprehensive, covering e.g. pivoting
near+function+of+variables+subject+to+lin and interior-point algorithms, large-scale
ear+inequalities%22&ots=0viWRKQVGk& problems, decomposition following
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Edmonds, Jack; Giles, Rick (1977). "A Min-
Production and Allocation, New York-
Max Relation for Submodular Functions on
London 1951 (Wiley & Chapman-Hall)
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1996. (Collection of surveys) 5060(08)70734-9 (https://doi.org/10.1016%
Bland, Robert G. (1977). "New Finite 2FS0167-5060%2808%2970734-9).
Pivoting Rules for the Simplex Method". ISBN 978-0-7204-0765-5.
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(2): 103–107. doi:10.1287/moor.2.2.103 (htt
ps://doi.org/10.1287%2Fmoor.2.2.103).
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 Fukuda, Komei; Terlaky, Tamás (1997). Evar D. Nering and Albert W. Tucker, 1993,
Thomas M. Liebling; Dominique de Werra Linear Programs and Related Problems,
(eds.). "Criss-cross methods: A fresh view Academic Press. (elementary)
on pivot algorithms". Mathematical M. Padberg, Linear Optimization and
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Further reading
Dmitris Alevras and Manfred W. Padberg, Michael R. Garey and David S. Johnson
Linear Optimization and Extensions: (1979). Computers and Intractability: A
Problems and Solutions (https://books.goo Guide to the Theory of NP-Completeness.
gle.com/books?id=RAUyB8NDHJwC&prin W.H. Freeman. ISBN 978-0-7167-1045-5.
tsec=frontcover#v=onepage&q&f=false), A6: MP1: INTEGER PROGRAMMING,
Universitext, Springer-Verlag, 2001. pg.245. (computer science, complexity
(Problems from Padberg with solutions.) theory)
Mark de Berg, Marc van Kreveld, Mark Gärtner, Bernd; Matoušek, Jiří (2006).
Overmars, and Otfried Schwarzkopf Understanding and Using Linear
(2000). Computational Geometry (https://ar Programming. Berlin: Springer. ISBN 3-
chive.org/details/computationalgeo00berg) 540-30697-8. (elementary introduction for
(2nd revised ed.). Springer-Verlag. mathematicians and computer scientists)
ISBN 978-3-540-65620-3. Chapter 4: Cornelis Roos, Tamás Terlaky, Jean-
Linear Programming: pp. 63–94. Describes Philippe Vial, Interior Point Methods for
a randomized half-plane intersection Linear Optimization, Second Edition,
algorithm for linear programming. Springer-Verlag, 2006. (Graduate level)
 Alexander Schrijver (2003). Combinatorial H. P. Williams, Model Building in
optimization: polyhedra and efficiency. Mathematical Programming (https://books.
Springer. google.com/books?id=YJRh0tOes7UC&pr
Alexander Schrijver, Theory of Linear and intsec=frontcover#v=onepage&q&f=false),
Integer Programming. John Wiley & sons, Fifth Edition, 2013. (Modeling)
1998, ISBN 0-471-98232-6 (mathematical) Stephen J. Wright, 1997, Primal-Dual
Gerard Sierksma; Yori Zwols (2015). Interior-Point Methods (https://books.googl
Linear and Integer Optimization: Theory e.com/books?id=oQdBzXhZeUkC&printse
and Practice. CRC Press. ISBN 978-1- c=frontcover#v=onepage&q&f=false),
498-71016-9. SIAM. (Graduate level)
Gerard Sierksma; Diptesh Ghosh (2010). Yinyu Ye, 1997, Interior Point Algorithms:
Networks in Action; Text and Computer Theory and Analysis, Wiley. (Advanced
Exercises in Network Optimization. graduate-level)
Springer. ISBN 978-1-4419-5512-8. (linear Ziegler, Günter M., Chapters 1–3 and 6–7
optimization modeling) in Lectures on Polytopes, Springer-Verlag,
New York, 1994. (Geometry)

External links
Guidance On Formulating LP Problems (http://people.brunel.ac.uk/~mastjjb/jeb/or/lp.html)
Mathematical Programming Glossary (http://glossary.computing.society.informs.org/)
The Linear Programming FAQ (http://lpsolve.sourceforge.net/4.0/LinearProgrammingFAQ.ht
m)
Benchmarks For Optimisation Software (http://plato.asu.edu/bench.html)

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