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