fastlp {fastclime} | R Documentation |
A generic linear programming solver using parametric simplex method
fastlp(obj,mat,rhs,lambda=0)
obj |
The objective vector of the coefficient with length n. |
mat |
The constraint matrix of the linear programming with dimension m*n. Note this argument must be in matrix form even it is a vector. |
rhs |
The right hand side vector of the constraint with length m. |
lambda |
The parametric simplex method will stop when the calculated paramter is smaller than lambda. The default value is zero and it corresponds to the optimal value. |
This function is used to solve a general linear programming in standard inequality form: "maximize obj*x, subject to: mat*x<=rhs, x>=0"
The optimal value will be returned if it exists. Otherwise the function will indicate the problem is infeasible or unbounded.
The linear programming should be in the form "maximize obj*x, subject to: mat*x<=rhs, x>=0". If the original problem is not in this form. The user has to convert it into this form. For example, the equality constrants can be separated into two inequality constraints.
Haotian Pang, Han Liu and Robert Vanderbei
Maintainer: Haotan Pang<hpang@princeton.edu>
fastclime
and fastclime-package
#generate an LP problem and solve it A=matrix(c(-1,-1,0,1,-2,1),nrow=3) b=c(-1,-2,1) c=c(-2,3) fastlp(c,A,b)