linpro

Scilab Function
Last update : 17/04/2007

linpro - linear programming solver

### Calling Sequence

  `[x,lagr,f]=linpro(p,C,b [,x0])`
  `[x,lagr,f]=linpro(p,C,b,ci,cs [,x0])`
  `[x,lagr,f]=linpro(p,C,b,ci,cs,me [,x0])`
  `[x,lagr,f]=linpro(p,C,b,ci,cs,me,x0 [,imp])`

### Parameters

- `p` : real column vector (dimension `n` )
- `C` : real matrix (dimension `(me + md) x n` ) (If no constraints are given, you can set `C = []` )
- `b` : RHS column vector (dimension `(me + md)` ) (If no constraints are given, you can set `b = []` )
- `ci` : column vector of lower-bounds (dimension `n` ). If there are no lower bound constraints, put `ci = []` . If some components of `x` are bounded from below, set the other (unconstrained) values of `ci` to a very large negative number (e.g. `ci(j) = -number_properties('huge')` .
- `cs` : column vector of upper-bounds. (Same remarks as above).
- `me` : number of equality constraints (i.e. `C(1:me,:)*x = b(1:me)` )
- `x0` : either an initial guess for `x` or one of the character strings `'v'` or `'g'` . If `x0='v'` the calculated initial feasible point is a vertex. If `x0='g'` the calculated initial feasible point is arbitrary.
- `imp` : verbose option (optional parameter) (Try `imp=7,8,...` ) warning the message are output in the window where scilab has been started.
- `x` : optimal solution found.
- `f` : optimal value of the cost function (i.e. `f=p'*x` ).
- `lagr` : vector of Lagrange multipliers. If lower and upper-bounds `ci,cs` are provided, `lagr` has `n + me + md` components and `lagr(1:n)` is the Lagrange vector associated with the bound constraints and `lagr (n+1 : n + me + md)` is the Lagrange vector associated with the linear constraints. (If an upper-bound (resp. lower-bound) constraint `i` is active `lagr(i)` is > 0 (resp. <0). If no bounds are provided, `lagr` has only `me + md` components.

### Description

`[x,lagr,f]=linpro(p,C,b [,x0])` Minimize `p'*x` under the constraints `C*x <= b`

`[x,lagr,f]=linpro(p,C,b,ci,cs [,x0])` Minimize `p'*x` under the constraints `C*x <= b` , `ci <= x <= cs`

`[x,lagr,f]=linpro(p,C,b,ci,cs,me [,x0])` Minimize `p'*x` under the constraints

     C(j,:) x = b(j),  j=1,...,me
     C(j,:) x <= b(j), j=me+1,...,me+md
     ci <= x <= cs

If no initial point is given the program computes a feasible initial point which is a vertex of the region of feasible points if `x0='v'` .

If `x0='g'` , the program computes a feasible initial point which is not necessarily a vertex. This mode is advisable when the quadratic form is positive definite and there are a few constraints in the problem or when there are large bounds on the variables that are security bounds and very likely not active at the optimal solution.

### Examples

    //Find x in R^6 such that:
    //C1*x = b1  (3 equality constraints i.e me=3)
    C1= [1,-1,1,0,3,1;
        -1,0,-3,-4,5,6;
         2,5,3,0,1,0];
    b1=[1;2;3];
    //C2*x <= b2  (2 inequality constraints)
    C2=[0,1,0,1,2,-1;
        -1,0,2,1,1,0];
    b2=[-1;2.5];
    //with  x between ci and cs:
    ci=[-1000;-10000;0;-1000;-1000;-1000];cs=[10000;100;1.5;100;100;1000];
    //and minimize p'*x with
    p=[1;2;3;4;5;6]
    //No initial point is given: x0='v';
    C=[C1;C2]; b=[b1;b2] ; me=3; x0='v';
    [x,lagr,f]=linpro(p,C,b,ci,cs,me,x0)
    // Lower bound constraints 3 and 4 are active and upper bound
    // constraint 5 is active --> lagr(3:4) < 0 and lagr(5) > 0.
    // Linear (equality) constraints 1 to 3 are active --> lagr(7:9) <> 0

### See Also

`quapro` ,

### Authors

  Eduardo Casas Renteria, Universidad de Cantabria,
  Cecilia Pola Mendez , Universidad de Cantabria

### Bibliography

E. Casas and C. Pola, An algorithm for indefinite quadratic programming based on a partial Cholesky factorization, RAIRO-Recherche Opérationnelle/Operations Research, 27 (1993), 401-426.

### Used Function

in routines/optim directory (authors E.Casas, C. Pola Mendez):

anfm01.f anfm03.f anfm05.f anrs01.f auxo01.f dimp03.f dnrm0.f optr03.f pasr03.f zthz.f anfm02.f anfm04.f anfm06.f anrs02.f desr03.f dipvtf.f optr01.f opvf03.f plcbas.f

From BLAS library

daxpy.f dcopy.f ddot.f dnrm2.f dscal.f dswap.f idamax.f

in routines/calelm directory (authors INRIA):

add.f ddif.f dmmul.f

From LAPACK library : dlamch.f