linprog.rst

Linear Programming

.. function:: linprog(c, A, sense, b, l, u, solver)

Solves the linear programming problem:

\min_{x}\, &c^Tx\\
s.t.     &a_i^Tx \text{ sense}_i \, b_i \forall\,\, i\\
         &l \leq x \leq u\\

where:

• c is the objective vector, always in the sense of minimization
• A is the constraint matrix, with rows a_i (viewed as column-oriented vectors)
• sense is a vector of constraint sense characters '<', '=', and '>'
• b is the right-hand side vector
• l is the vector of lower bounds on the variables
• u is the vector of upper bounds on the variables, and
• solver is an optional parameter specifying the desired solver, see :ref:`choosing solvers <choosing-solvers>`. If this parameter is not provided, the default solver is used.

A scalar is accepted for the b, sense, l, and u arguments, in which case its value is replicated. The values -Inf and Inf are interpreted to mean that there is no corresponding lower or upper bound.

Note

Linear programming solvers extensively exploit the sparsity of the constraint matrix A. While both dense and sparse matrices are accepted, for large-scale problems sparse matrices should be provided if permitted by the problem structure.

A shortened version is defined as:

linprog(c, A, sense, b, solver) = linprog(c, A, sense, b, 0, Inf, solver)

The linprog function returns an instance of the type:

type LinprogSolution
    status
    objval
    sol
    attrs
end

where status is a termination status symbol, one of :Optimal, :Infeasible, :Unbounded, :UserLimit (iteration limit or timeout), :Error (and maybe others).

If status is :Optimal, the other members have the following values:

• objval -- optimal objective value
• sol -- primal solution vector
• attrs -- a dictionary that may contain other relevant attributes such as:
  • redcost -- dual multipliers for active variable bounds (zero if inactive)
  • lambda -- dual multipliers for active linear constraints (equalities are always active)

If status is :Infeasible, the attrs member will contain an infeasibilityray if available; similarly for :Unbounded problems, attrs will contain an unboundedray if available.

For example, we can solve the two-dimensional problem (see test/linprog.jl):

\min_{x,y}\, &-x\\
s.t.         &2x + y \leq 1.5\\
             & x \geq 0, y \geq 0

by:

using MathProgBase

sol = linprog([-1,0],[2 1],'<',1.5)
if sol.status == :Optimal
    println("Optimal objective value is $(sol.objval)")
    println("Optimal solution vector is: [$(sol.sol[1]), $(sol.sol[2])]")
else
    println("Error: solution status $(sol.status)")
end

.. function:: linprog(c, A, lb, ub, l, u, solver)

This variant allows one to specify two-sided linear constraints (also known as range constraints) to solve the linear programming problem:

\min_{x}\, &c^Tx\\
s.t.     &lb \leq Ax \leq ub\\
         &l \leq x \leq u\\

where:

• c is the objective vector, always in the sense of minimization
• A is the constraint matrix
• lb is the vector of row lower bounds
• ub is the vector of row upper bounds
• l is the vector of lower bounds on the variables
• u is the vector of upper bounds on the variables, and
• solver is an optional parameter specifying the desired solver, see :ref:`choosing solvers <choosing-solvers>`. If this parameter is not provided, the default solver is used.

A scalar is accepted for the l, u, lb, and ub arguments, in which case its value is replicated. The values -Inf and Inf are interpreted to mean that there is no corresponding lower or upper bound. Equality constraints are specified by setting the row lower and upper bounds to the same value.

A shortened version is defined as:

linprog(c, A, lb, ub, solver) = linprog(c, A, lb, ub, 0, Inf, solver)