fastlp: A generic LP solver

In fastclime: A Fast Solver for Parameterized LP Problems, Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation and Dantzig Selector

Description

A generic linear programming solver using parametric simplex method

Usage

fastlp(obj,mat,rhs,lambda=0)

Arguments

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.

Details

This function is used to solve a general linear programming in standard inequality form: "maximize obj*x, subject to: mat*x<=rhs, x>=0"

Value

The optimal value will be returned if it exists. Otherwise the function will indicate the problem is infeasible or unbounded.

Note

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.

Author(s)

Haotian Pang, Han Liu and Robert Vanderbei
Maintainer: Haotan Pang<[e-mail]>

See Also

fastclime and fastclime-package

Examples

#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)

Example output

Loading required package: lattice
Loading required package: igraph

Attaching package: 'igraph'

The following objects are masked from 'package:stats':

    decompose, spectrum

The following object is masked from 'package:base':

    union

Loading required package: MASS
Loading required package: Matrix
optimal solution found! 
[1] 2 1

fastclime documentation built on May 2, 2019, 1:06 p.m.