Optimization for large scale linear problem with equality constraint

Question

Given the wide range of optimization methods, which is the appropriate method to use? I am thinking of using either linear programming (interior-point methods) or augmented Lagrangian methods. Which method will be more approriate for large scale linear problem with equality constraint? Thank you.

Answer 1

I would recommend you to grab a copy of matlab as many linear programming algorithms are implemented and you can directly compare how they perform on your data.

However it should also be a good hint to see what they use for your problem:

The default large-scale method is based on LIPSOL ([52]), which is a variant of Mehrotra's predictor-corrector algorithm ([47]), a primal-dual interior-point method.