A specialized interior-point algorithm for huge minimum convex cost flows in bipartite networks

Abstract

© 2020 ElsevierThe computation of the Newton direction is the most time consuming step of interior-point methods. This direction was efficiently computed by a combination of Cholesky factorizations and conjugate gradients in a specialized interior-point method for block-angular structured problems. In this work we refine this algorithmic approach to solve very large instances of minimum cost flows problems in bipartite networks, for convex objective functions with diagonal Hessians (i.e., either linear, quadratic or separable nonlinear objectives). For this class of problems the specialized algorithm only required the solution of a system by conjugate gradients at each interior-point iteration, avoiding Cholesky factorizations. After analyzing the theoretical properties of the interior-point method for this kind of problems, we provide extensive computational experiments with linear and quadratic instances of up to one billion arcs (corresponding to 200 nodes and five million nodes in each subset of the node partition, respectively). For linear and quadratic instances our approach is compared with the barriers algorithms of CPLEX (both standard path-following and homogeneous-self-dual); for linear instances it is also compared with the different algorithms of the state-of-the-art network flow solver LEMON (namely: network simplex, capacity scaling, cost scaling and cycle canceling). The specialized interior-point approach significantly outperformed the other approaches in most of the linear and quadratic transportation instances tested. In particular, it always provided a solution within the time limit; and (like LEMON, and unlike CPLEX) it never exhausted the memory of the server used for the runs. For assignment problems the network algorithms in LEMON were the most efficient option.This work has been supported by the grants MINECO /FEDER MTM2015-65362-R and MCIU/ AEI /FEDER RTI2018-097580-B-I00Peer ReviewedPostprint (author's final draft