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glpk

PURPOSE ^

% Solve a linear program using the GNU GLPK library. Given three

SYNOPSIS ^

function [xopt, fmin, status, extra] = glpk (c, a, b, lb, ub, ctype, vartype, sense, param)

DESCRIPTION ^

% -*- texinfo -*-
% @deftypefn {Function File} {[@var{xopt}, @var{fmin}, @var{status}, @var{extra}] =} glpk (@var{c}, @var{a}, @var{b}, @var{lb}, @var{ub}, @var{ctype}, @var{vartype}, @var{sense}, @var{param})
% Solve a linear program using the GNU GLPK library.  Given three
% arguments, @code{glpk} solves the following standard LP:
% 
% @iftex
% @tex
% $$
%   \min_x C^T x
% $$
% @end tex
% @end iftex
% @ifnottex
% @example
% min C'*x
% @end example
% @end ifnottex
% 
% subject to
% 
% @iftex
% @tex
% $$
%   Ax = b \qquad x \geq 0
% $$
% @end tex
% @end iftex
% @ifnottex
% @example
% @group
% A*x  = b
%   x >= 0
% @end group
% @end example
% @end ifnottex
% 
% but may also solve problems of the form
% 
% @iftex
% @tex
% $$
%   [ \min_x | \max_x ] C^T x
% $$
% @end tex
% @end iftex
% @ifnottex
% @example
% [ min | max ] C'*x
% @end example
% @end ifnottex
% 
% subject to
% 
% @iftex
% @tex
% $$
%  Ax [ = | \leq | \geq ] b \qquad LB \leq x \leq UB
% $$
% @end tex
% @end iftex
% @ifnottex
% @example
% @group
% A*x [ '=' | '<=' | '>=' ] b
%   x >= LB
%   x <= UB
% @end group
% @end example
% @end ifnottex
% 
% Input arguments:
% 
% @table @var
% @item c
% A column array containing the objective function coefficients.
% 
% @item a
% A matrix containing the constraints coefficients.
% 
% @item b
% A column array containing the right-hand side value for each constraint
% in the constraint matrix.
% 
% @item lb
% An array containing the lower bound on each of the variables.  If
% @var{lb} is not supplied, the default lower bound for the variables is
% zero.
% 
% @item ub
% An array containing the upper bound on each of the variables.  If
% @var{ub} is not supplied, the default upper bound is assumed to be
% infinite.
% 
% @item ctype
% An array of characters containing the sense of each constraint in the
% constraint matrix.  Each element of the array may be one of the
% following values
% @table @code
% @item 'F'
% A free (unbounded) constraint (the constraint is ignored).
% @item 'U'
% An inequality constraint with an upper bound (@code{A(i,:)*x <= b(i)}).
% @item 'S'
% An equality constraint (@code{A(i,:)*x = b(i)}).
% @item 'L'
% An inequality with a lower bound (@code{A(i,:)*x >= b(i)}).
% @item 'D'
% An inequality constraint with both upper and lower bounds
% (@code{A(i,:)*x >= -b(i)} @emph{and} (@code{A(i,:)*x <= b(i)}).
% @end table
% 
% @item vartype
% A column array containing the types of the variables.
% @table @code
% @item 'C'
% A continuous variable.
% @item 'I'
% An integer variable.
% @end table
% 
% @item sense
% If @var{sense} is 1, the problem is a minimization.  If @var{sense} is
% -1, the problem is a maximization.  The default value is 1.
% 
% @item param
% A structure containing the following parameters used to define the
% behavior of solver.  Missing elements in the structure take on default
% values, so you only need to set the elements that you wish to change
% from the default.
% 
% Integer parameters:
% 
% @table @code
% @item msglev (@code{LPX_K_MSGLEV}, default: 1)
% Level of messages output by solver routines:
% @table @asis
% @item 0
% No output.
% @item 1
% Error messages only.
% @item 2
% Normal output .
% @item 3
% Full output (includes informational messages).
% @end table
% 
% @item scale (@code{LPX_K_SCALE}, default: 1)
% Scaling option: 
% @table @asis
% @item 0
% No scaling.
% @item 1
% Equilibration scaling.
% @item 2
% Geometric mean scaling, then equilibration scaling.
% @end table
% 
% @item dual     (@code{LPX_K_DUAL}, default: 0)
% Dual simplex option:
% @table @asis
% @item 0
% Do not use the dual simplex.
% @item 1
% If initial basic solution is dual feasible, use the dual simplex.
% @end table
% 
% @item price     (@code{LPX_K_PRICE}, default: 1)
% Pricing option (for both primal and dual simplex):
% @table @asis
% @item 0
% Textbook pricing.
% @item 1
% Steepest edge pricing.
% @end table
%   
% @item round     (@code{LPX_K_ROUND}, default: 0)
% Solution rounding option:
% @table @asis
% @item 0
% Report all primal and dual values 'as is'.
% @item 1
% Replace tiny primal and dual values by exact zero.
% @end table
% 
% @item itlim     (@code{LPX_K_ITLIM}, default: -1)
% Simplex iterations limit.  If this value is positive, it is decreased by
% one each time when one simplex iteration has been performed, and
% reaching zero value signals the solver to stop the search.  Negative
% value means no iterations limit.
% 
% @item itcnt (@code{LPX_K_OUTFRQ}, default: 200)
% Output frequency, in iterations.  This parameter specifies how
% frequently the solver sends information about the solution to the
% standard output.
% 
% @item branch (@code{LPX_K_BRANCH}, default: 2)
% Branching heuristic option (for MIP only):
% @table @asis
% @item 0
% Branch on the first variable.
% @item 1
% Branch on the last variable.
% @item 2
% Branch using a heuristic by Driebeck and Tomlin.
% @end table
% 
% @item btrack (@code{LPX_K_BTRACK}, default: 2)
% Backtracking heuristic option (for MIP only):
% @table @asis
% @item 0
% Depth first search.
% @item 1
% Breadth first search.
% @item 2
% Backtrack using the best projection heuristic.
% @end table        
% 
% @item presol (@code{LPX_K_PRESOL}, default: 1)
% If this flag is set, the routine lpx_simplex solves the problem using
% the built-in LP presolver.  Otherwise the LP presolver is not used.
% 
% @item lpsolver (default: 1)
% Select which solver to use.  If the problem is a MIP problem this flag
% will be ignored.
% @table @asis
% @item 1
% Revised simplex method.
% @item 2
% Interior point method.
% @end table
% @item save (default: 0)
% If this parameter is nonzero, save a copy of the problem in
% CPLEX LP format to the file @file{'outpb.lp'}.  There is currently no
% way to change the name of the output file.
% @end table
% 
% Real parameters:
% 
% @table @code
% @item relax (@code{LPX_K_RELAX}, default: 0.07)
% Relaxation parameter used in the ratio test.  If it is zero, the textbook
% ratio test is used.  If it is non-zero (should be positive), Harris'
% two-pass ratio test is used.  In the latter case on the first pass of the
% ratio test basic variables (in the case of primal simplex) or reduced
% costs of non-basic variables (in the case of dual simplex) are allowed
% to slightly violate their bounds, but not more than
% @code{relax*tolbnd} or @code{relax*toldj (thus, @code{relax} is a
% percentage of @code{tolbnd} or @code{toldj}}.
% 
% @item tolbnd (@code{LPX_K_TOLBND}, default: 10e-7)
% Relative tolerance used to check if the current basic solution is primal
% feasible.  It is not recommended that you change this parameter unless you
% have a detailed understanding of its purpose.
% 
% @item toldj (@code{LPX_K_TOLDJ}, default: 10e-7)
% Absolute tolerance used to check if the current basic solution is dual
% feasible.  It is not recommended that you change this parameter unless you
% have a detailed understanding of its purpose.
% 
% @item tolpiv (@code{LPX_K_TOLPIV}, default: 10e-9)
% Relative tolerance used to choose eligible pivotal elements of the
% simplex table.  It is not recommended that you change this parameter unless you
% have a detailed understanding of its purpose.
% 
% @item objll (@code{LPX_K_OBJLL}, default: -DBL_MAX)
% Lower limit of the objective function.  If on the phase II the objective
% function reaches this limit and continues decreasing, the solver stops
% the search.  This parameter is used in the dual simplex method only.
% 
% @item objul (@code{LPX_K_OBJUL}, default: +DBL_MAX)
% Upper limit of the objective function.  If on the phase II the objective
% function reaches this limit and continues increasing, the solver stops
% the search.  This parameter is used in the dual simplex only.
% 
% @item tmlim (@code{LPX_K_TMLIM}, default: -1.0)
% Searching time limit, in seconds.  If this value is positive, it is
% decreased each time when one simplex iteration has been performed by the
% amount of time spent for the iteration, and reaching zero value signals
% the solver to stop the search.  Negative value means no time limit.
% 
% @item outdly (@code{LPX_K_OUTDLY}, default: 0.0)
% Output delay, in seconds.  This parameter specifies how long the solver
% should delay sending information about the solution to the standard
% output.  Non-positive value means no delay.
% 
% @item tolint (@code{LPX_K_TOLINT}, default: 10e-5)
% Relative tolerance used to check if the current basic solution is integer
% feasible.  It is not recommended that you change this parameter unless
% you have a detailed understanding of its purpose.
% 
% @item tolobj (@code{LPX_K_TOLOBJ}, default: 10e-7)
% Relative tolerance used to check if the value of the objective function
% is not better than in the best known integer feasible solution.  It is
% not recommended that you change this parameter unless you have a
% detailed understanding of its purpose.
% @end table
% @end table
% 
% Output values:
% 
% @table @var
% @item xopt
% The optimizer (the value of the decision variables at the optimum).
% @item fopt
% The optimum value of the objective function.
% @item status
% Status of the optimization.
% 
% Simplex Method:
% @table @asis
% @item 180 (@code{LPX_OPT})
% Solution is optimal.
% @item 181 (@code{LPX_FEAS})
% Solution is feasible.
% @item 182 (@code{LPX_INFEAS})
% Solution is infeasible.
% @item 183 (@code{LPX_NOFEAS})
% Problem has no feasible solution.
% @item 184 (@code{LPX_UNBND})
% Problem has no unbounded solution.
% @item 185 (@code{LPX_UNDEF})
% Solution status is undefined.
% @end table
% Interior Point Method:
% @table @asis
% @item 150 (@code{LPX_T_UNDEF})
% The interior point method is undefined.
% @item 151 (@code{LPX_T_OPT})
% The interior point method is optimal.
% @end table
% Mixed Integer Method:
% @table @asis
% @item 170 (@code{LPX_I_UNDEF})
% The status is undefined.
% @item 171 (@code{LPX_I_OPT})
% The solution is integer optimal.
% @item 172 (@code{LPX_I_FEAS})
% Solution integer feasible but its optimality has not been proven
% @item 173 (@code{LPX_I_NOFEAS})
% No integer feasible solution.
% @end table
% @noindent
% If an error occurs, @var{status} will contain one of the following
% codes:
%
% @table @asis
% @item 204 (@code{LPX_E_FAULT})
% Unable to start the search.
% @item 205 (@code{LPX_E_OBJLL})
% Objective function lower limit reached.
% @item 206 (@code{LPX_E_OBJUL})
% Objective function upper limit reached.
% @item 207 (@code{LPX_E_ITLIM})
% Iterations limit exhausted.
% @item 208 (@code{LPX_E_TMLIM})
% Time limit exhausted.
% @item 209 (@code{LPX_E_NOFEAS})
% No feasible solution.
% @item 210 (@code{LPX_E_INSTAB})
% Numerical instability.
% @item 211 (@code{LPX_E_SING})
% Problems with basis matrix.
% @item 212 (@code{LPX_E_NOCONV})
% No convergence (interior).
% @item 213 (@code{LPX_E_NOPFS})
% No primal feasible solution (LP presolver).
% @item 214 (@code{LPX_E_NODFS})
% No dual feasible solution (LP presolver).
% @end table
% @item extra
% A data structure containing the following fields:
% @table @code
% @item lambda
% Dual variables.
% @item redcosts
% Reduced Costs.
% @item time
% Time (in seconds) used for solving LP/MIP problem.
% @item mem
% Memory (in bytes) used for solving LP/MIP problem (this is not 
% available if the version of GLPK is 4.15 or later).
% @end table
% @end table
% 
% Example:
% 
% @example
% @group
% c = [10, 6, 4]';
% a = [ 1, 1, 1;
%      10, 4, 5;
%       2, 2, 6];
% b = [100, 600, 300]';
% lb = [0, 0, 0]';
% ub = [];
% ctype = 'UUU';
% vartype = 'CCC';
% s = -1;
% 
% param.msglev = 1;
% param.itlim = 100;
% 
% [xmin, fmin, status, extra] = @dots{}
%    glpk (c, a, b, lb, ub, ctype, vartype, s, param);
% @end group
% @end example
% @end deftypefn

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