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Typical Linear Programming Problem

This example shows the solution of a typical linear programming problem. The problem is

minxfTx such that {Axb,Aeqx=beq,x0.

You can load the matrices and vectors A, Aeq, b, beq, f, and the lower bounds lb into the MATLAB® workspace with

load sc50b

This problem in sc50b.mat has 48 variables, 30 inequalities, and 20 equalities.

Use linprog to solve the problem:

options = optimoptions(@linprog,'Algorithm','dual-simplex','Display','iter');
[x,fval,exitflag,output] = ...

Because the iterative display was set using optimoptions, the results displayed are

LP preprocessing removed 2 inequalities, 16 equalities,
16 variables, and 26 non-zero elements.

 Iter      Time            Fval  Primal Infeas    Dual Infeas  
    0     0.002    0.000000e+00   0.000000e+00   1.305012e+00  
    7     0.002   -1.587054e+02   3.760622e+02   0.000000e+00  
   34     0.002   -7.000000e+01   0.000000e+00   0.000000e+00  

Optimal solution found.

For this problem, the interior-point linear programming algorithm quickly reduces the scaled residuals below the default tolerance of 1e-08.

The exitflag value is positive, telling you linprog converged. You can also get the final function value in fval and the number of iterations in output.iterations:


exitflag =

fval =

output = 
  struct with fields:
         iterations: 34
    constrviolation: 2.2737e-13
            message: 'Optimal solution found.'
          algorithm: 'dual-simplex'
      firstorderopt: 1.6787e-14
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