I have a LP problem which contains 2n+3 variables with 4n+6 inequality constraints. I was trying to use Mathematica's LinearProgramming function. When n is small, like less than 30, it gives outcome in several seconds. But when n becomes large, like more than 100, it takes about 1 hour to show the result.
However, I can access to a multi-core computer. When I use LinearProgramming function, it only makes use of one of those cores.
Is it possible to perform parallel computation when using LinearProgramming function? So I can make full use of my CUP resource and save some computing time for large n. If not, how can I solve large scale LP in Mathematica. Are there other platforms or softwares which may handle large scale LP efficiently?
