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I would like to solve the following type of LP problems:

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where M and N are very large numbers, they are on the order of a few hundreds of thousands and tens of thousands, respectively.

As is clear from the above formulation, each constraint links only a few variables, leading to an extremely sparse coefficient matrix.

Which methods and (free) libraries do you suggest for solving this issue very effectively (within a few minutes)? Is there one which can start from a known feasible solution provided by the user?

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2 Answers 2

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One of the best-performing free LP solvers exploiting sparsity is HiGHS (https://github.com/ERGO-Code/HiGHS). It allows passing a starting point.

For comparing relative performance of a number of LP solvers on a standardized test set, take a look at the Mittelmann benchmarks (https://plato.asu.edu/ftp/lpopt.html)

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Based on the Mittelmann benchmarks, I would agree that HiGHS is a contender, as is Clp (which is faster than HiGHS on some test problems, slower on others). You might also want to look at SCIP, which is highly regarded as a mixed integer program solver but will certainly solve LPs.

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