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 and
objective 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 A pictorial representation of a simple
inequality. Its objective function is a real-valued affine (linear) linear program with two variables
and six inequalities. The set of
function defined on this polytope. A linear programming algorithm
feasible solutions is depicted in
finds a point in the polytope where this function has the largest (or
yellow and forms a polygon, a 2-
smallest) value if such a point exists. dimensional polytope. The optimum
of the linear cost function is where
Linear programs are problems that can be expressed in standard the red line intersects the polygon.
form as 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 are the variables to be determined,

and are given vectors, and is a given matrix. The function
whose value is to be maximized ( in this case) is called
the objective function. The constraints and
specify a convex polytope over which the objective function is to
be optimized.

Linear programming can be applied to various fields of study. It is

widely used in mathematics and, to a lesser extent, in business, A closed feasible region of a
economics, and some engineering problems. There is a close problem with three variables is a
convex polyhedron. The surfaces
connection between linear programs, eigenequations, John von
giving a fixed value of the objective
Neumann's general equilibrium model, and structural equilibrium function are planes (not shown).
models (see dual linear program for details).[1] [2] [3] Industries The linear programming problem is
that use linear programming models include transportation, to find a point on the polyhedron
that is on the plane with the highest
possible value.
energy, telecommunications, and manufacturing. It has proven useful in modeling diverse types of
problems in planning, routing, scheduling, assignment, and design.

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,[4] and after whom the method of Fourier–Motzkin
elimination is named.

In the late 1930s, Soviet mathematician Leonid Kantorovich and

American economist Wassily Leontief independently delved into
the practical applications of linear programming. Kantorovich
focused on manufacturing schedules, while Leontief explored
economic applications. Their groundbreaking work was largely
overlooked for decades.

The turning point came during World War II when linear

programming emerged as a vital tool. It found extensive use in
addressing complex wartime challenges, including transportation Leonid Kantorovich
logistics, scheduling, and resource allocation. Linear programming
proved invaluable in optimizing these processes while considering
critical constraints such as costs and resource availability.

Despite its initial obscurity, the wartime successes propelled linear

programming into the spotlight. Post-WWII, the method gained
widespread recognition and became a cornerstone in various
fields, from operations research to economics. The overlooked
contributions of Kantorovich and Leontief in the late 1930s
eventually became foundational to the broader acceptance and
utilization of linear programming in optimizing decision-making
processes.[5]

Kantorovich's work was initially neglected in the USSR.[6] 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 John von Neumann
Nobel Memorial Prize in Economic Sciences.[4] In 1941, Frank
Lauren Hitchcock also formulated transportation problems as
linear programs and gave a solution very similar to the later simplex method.[7] Hitchcock had died in
1957, and the Nobel Memorial 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.[8] In 1947, Dantzig also invented the simplex method
that, for the first time efficiently, tackled the linear programming problem in most cases.[8] When Dantzig
arranged a meeting with John von Neumann to discuss his simplex method, von Neumann immediately
conjectured the theory of duality by realizing that the problem he had been working in game theory was
equivalent.[8] Dantzig provided formal proof in an unpublished report "A Theorem on Linear
Inequalities" on January 5, 1948.[6] Dantzig's work was made available to public in 1951. In the post-war
years, many industries applied it in their daily planning.

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,[9] 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.[10]

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.[6] 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.[11]

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 (or affine) 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 hectares, to
be planted with either wheat or barley or some combination of the
two. The farmer has F kilograms of fertilizer and P kilograms of
pesticide. Every hectare of wheat requires F1 kilograms of
fertilizer and P1 kilograms of pesticide, while every hectare of
barley requires F2 kilograms of fertilizer and P2 kilograms of
pesticide. Let S1 be the selling price of wheat and S2 be the selling
price of barley, per hectare. 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 Graphical solution to the farmer
problem in the standard form: example – after shading regions
violating the conditions, the vertex of
Maximize: (maximize the revenue the unshaded region with the
(the total wheat sales plus dashed line farthest from the origin
the total barley sales) – gives the optimal combination (its
revenue is the "objective lying on the land and pesticide lines
function") implies that revenue is limited by
Subject to: (limit on total area) land and pesticide, not fertilizer)
(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.[12] 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 polytope. 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 (i.e., 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.[13][14] In rare practical problems, the usual versions In a linear programming problem, a
of the simplex algorithm may actually "cycle".[14] To avoid series of linear constraints produces a
cycles, researchers developed new pivoting rules.[15] convex feasible region of possible values
for those variables. In the two-variable
In practice, the simplex algorithm is quite efficient and can be case this region is in the shape of a
guaranteed to find the global optimum if certain precautions convex 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,[16] which is similar to its behavior on practical problems.[13][17]
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.[13][18][19] 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.[15][20]

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.[9]
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[10] improved on
Khachiyan's[9] 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.[21] 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.[22]

Vaidya's 89 algorithm
In 1989, Vaidya developed an algorithm that runs in time.[23] 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 linear programming can be solved in
time,[24] where denotes the soft O notation, and 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.[25] 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.[26] These two algorithms remain when and . The result due
[27]
to Jiang, Song, Weinstein and Zhang improved to .

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.[28]

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.[29]
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.[15]

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

MPL Open-source modeling language with solvers for large-scale LP, QP, QCQP, SDP,
JuMP
License SOCP, NLP, and MIP optimization

An open-source modeling language for large-scale linear, mixed integer and

Pyomo BSD
nonlinear optimization
A general-purpose constraint integer programming solver with an emphasis on MIP.
SCIP Apache v2
Compatible with Zimpl modelling language.

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) third-party wrappers for other languages. Specialist support for
glpk GPL
flow networks. Bundles the AMPL-like GNU MathProg modelling language and
translator.
An LP and MIP solver featuring support for the MPS format and its own "lp"
LGPL format, as well as custom formats through its "eXternal Language Interface"
lp solve
v2.1
(XLI).[30][31] Translating between model formats is also possible.[32]

A library for incrementally solving systems of linear equations with various goal
Qoca GPL
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[33] 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
AMPL
with a 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,
Analytica and 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

Gurobi
Optimizer

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.

MATLAB Linear 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
MOSEK
and 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
packages (MATLAB, Excel, R, LabVIEW). The Optimization chapter of the NAG Library
NAG
includes routines for linear programming problems with both sparse and non-sparse linear
Numerical
constraint matrices, together with routines for the optimization of quadratic, nonlinear, sums of
Library
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.[34][35]
A suite of solvers for Linear, Integer, Nonlinear, Derivative-Free, Network, Combinatorial and
Constraint Optimization; the Algebraic modeling language OPTMODEL; and a variety of
SAS/OR
vertical solutions aimed at specific problems/markets, all of which are fully integrated with the
SAS System.

Solver for large-scale linear programs, quadratic programs, general nonlinear and mixed-
XPRESS integer 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
Odds algorithm used to solve optimal stopping problems
Oriented matroid
Quadratic programming, a superset of linear programming
Semidefinite programming
Shadow price
Simplex algorithm, used to solve LP problems

Notes
1. von Neumann, J. (1945). "A Model of General Economic Equilibrium". The Review of
Economic Studies. 13 (1): 1–9. doi:10.2307/2296111 (https://doi.org/10.2307%2F2296111).
JSTOR 2296111 (https://www.jstor.org/stable/2296111).
2. Kemeny, J. G.; Morgenstern, O.; Thompson, G. L. (1956). "A Generalization of the von
Neumann Model of an Expanding Economy". Econometrica. 24 (2): 115–135.
doi:10.2307/1905746 (https://doi.org/10.2307%2F1905746). JSTOR 1905746 (https://www.j
stor.org/stable/1905746).
3. Li, Wu (2019). General Equilibrium and Structural Dynamics: Perspectives of New Structural
Economics (in Chinese). Beijing: Economic Science Press. pp. 122–125. ISBN 978-7-5218-
0422-5.
4. Gerard Sierksma; Yori Zwols (2015). Linear and Integer Optimization: Theory and Practice
(3rd ed.). CRC Press. p. 1. ISBN 978-1498710169.
 5. "Linear programming | Definition & Facts | Britannica" (https://www.britannica.com/science/li
near-programming-mathematics). www.britannica.com. Retrieved 2023-11-20.
6. George B. Dantzig (April 1982). "Reminiscences about the origins of linear programming" (h
ttps://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.
7. Alexander Schrijver (1998). Theory of Linear and Integer Programming. John Wiley & Sons.
pp. 221–222. ISBN 978-0-471-98232-6.
8. Dantzig, George B.; Thapa, Mukund Narain (1997). Linear programming. New York:
Springer. p. xxvii. ISBN 0387948333. OCLC 35318475 (https://search.worldcat.org/oclc/353
18475).
9. Leonid Khachiyan (1979). "A Polynomial Algorithm for Linear Programming". Doklady
Akademii Nauk SSSR. 224 (5): 1093–1096.
10. 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%2FBF02
579150). S2CID 7257867 (https://api.semanticscholar.org/CorpusID:7257867).
11. M. Grundmann; V. Kwatra; I. Essa (2011). "Auto-directed video stabilization with robust L1
optimal camera paths". CVPR 2011 (https://static.googleusercontent.com/media/research.g
oogle.com/en//pubs/archive/37041.pdf) (PDF). pp. 225–232.
doi:10.1109/CVPR.2011.5995525 (https://doi.org/10.1109%2FCVPR.2011.5995525).
ISBN 978-1-4577-0394-2. S2CID 17707171 (https://api.semanticscholar.org/CorpusID:1770
7171).
12. Vazirani (2001, p. 112)
13. Dantzig & Thapa (2003)
14. Padberg (1999)
15. 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/sum
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25). MR 1464775 (https://mathscinet.ams.org/mathscinet-getitem?mr=1464775).
S2CID 2794181 (https://api.semanticscholar.org/CorpusID:2794181).
16. Borgwardt (1987)
17. Todd (2002)
18. Murty (1983)
19. Papadimitriou & Steiglitz
20. 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://m
athscinet.ams.org/mathscinet-getitem?mr=1045573). S2CID 33463483 (https://api.semantic
scholar.org/CorpusID:33463483).
21. 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://search.worldcat.org/issn/0343-6993).
MR 0883185 (https://mathscinet.ams.org/mathscinet-getitem?mr=0883185).
S2CID 123541868 (https://api.semanticscholar.org/CorpusID:123541868).
22. Vaidya, Pravin M. (1987). An algorithm for linear programming which requires
arithmetic operations. 28th Annual IEEE Symposium on
Foundations of Computer Science. FOCS.
23. 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.
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linear programming. FOCS '15 Foundations of Computer Science. arXiv:1503.01752 (http
s://arxiv.org/abs/1503.01752).
25. 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).
26. 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).
27. 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).
28. 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).
29. Anstreicher, Kurt M.; Terlaky, Tamás (1994). "A Monotonic Build-Up Simplex Algorithm for
Linear Programming" (https://doi.org/10.1287%2Fopre.42.3.556). Operations Research. 42
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ISSN 0030-364X (https://search.worldcat.org/issn/0030-364X). JSTOR 171894 (https://www.
jstor.org/stable/171894).
30. "lp_solve reference guide (5.5.2.5)" (https://web.mit.edu/lpsolve/doc/index.htm). mit.edu.
Retrieved 2023-08-10.
31. "External Language Interfaces" (http://lpsolve.sourceforge.net/5.5/XLI.htm). Retrieved
3 December 2021.
32. "lp_solve command" (http://lpsolve.sourceforge.net/5.5/lp_solve.htm). Retrieved
3 December 2021.
33. "COR@L – Computational Optimization Research At Lehigh" (http://coral.ie.lehigh.edu/~min
to/download.html). lehigh.edu.
34. 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
35. http://www.aaai.org/ocs/index.php/AAAI/AAAI10/paper/viewFile/1769/2076 Archived (https://
web.archive.org/web/20110629022829/http://www.aaai.org/ocs/index.php/AAAI/AAAI10/pap
er/viewFile/1769/2076) 2011-06-29 at the Wayback Machine OptimJ used in an
Approximate Subgame-Perfect Equilibrium Computation Technique for Repeated Games

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Further reading
Dmitris Alevras and Manfred W. Padberg, Alexander Schrijver (2003). Combinatorial
Linear Optimization and Extensions: optimization: polyhedra and efficiency.
Problems and Solutions (https://books.goo Springer.
gle.com/books?id=RAUyB8NDHJwC), Alexander Schrijver, Theory of Linear and
Universitext, Springer-Verlag, 2001. Integer Programming. John Wiley & sons,
(Problems from Padberg with solutions.) 1998, ISBN 0-471-98232-6 (mathematical)
de Berg, Mark; van Kreveld, Marc; Gerard Sierksma; Yori Zwols (2015).
Overmars, Mark; Schwarzkopf, Otfried Linear and Integer Optimization: Theory
(2000). Computational Geometry (https://ar and Practice. CRC Press. ISBN 978-1-
chive.org/details/computationalgeo00berg) 498-71016-9.
(2nd revised ed.). Springer-Verlag. Gerard Sierksma; Diptesh Ghosh (2010).
ISBN 978-3-540-65620-3. Chapter 4: Networks in Action; Text and Computer
Linear Programming: pp. 63–94. Describes Exercises in Network Optimization.
a randomized half-plane intersection Springer. ISBN 978-1-4419-5512-8. (linear
algorithm for linear programming. optimization modeling)
Michael R. Garey and David S. Johnson H. P. Williams, Model Building in
(1979). Computers and Intractability: A
Mathematical Programming (https://books.
Guide to the Theory of NP-Completeness. google.com/books?id=YJRh0tOes7UC),
W.H. Freeman. ISBN 978-0-7167-1045-5. Fifth Edition, 2013. (Modeling)
A6: MP1: INTEGER PROGRAMMING,
pg.245. (computer science, complexity Stephen J. Wright, 1997, Primal-Dual
theory) Interior-Point Methods (https://books.googl
e.com/books?id=oQdBzXhZeUkC), SIAM.
Gärtner, Bernd; Matoušek, Jiří (2006). (Graduate level)
Understanding and Using Linear
Programming. Berlin: Springer. ISBN 3- Yinyu Ye, 1997, Interior Point Algorithms:
540-30697-8. (elementary introduction for Theory and Analysis, Wiley. (Advanced
mathematicians and computer scientists) graduate-level)
Cornelis Roos, Tamás Terlaky, Jean- Ziegler, Günter M., Chapters 1–3 and 6–7
Philippe Vial, Interior Point Methods for in Lectures on Polytopes, Springer-Verlag,
Linear Optimization, Second Edition, New York, 1994. (Geometry)
Springer-Verlag, 2006. (Graduate level)

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)
Retrieved from "https://en.wikipedia.org/w/index.php?title=Linear_programming&oldid=1263304119"