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Thread Subject: optimization------linprog doesn't accept equality constraints

Subject: optimization------linprog doesn't accept equality constraints

From: Jun Li

Date: 2 May, 2008 09:35:03

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hi, all:

i use linprog solving a linear problem. however, looking
into the solution, it seems like the linprog algorithm
ignored the equality constraints. a part code of the
problem is as following:

[p,N] = size(Y);
ue = eye(p,p);
A = kron(Y',ue);
sigma = -ones(p*N,1);
A = [A,sigma];
sigma1 = zeros(1,p*p);
sigma1 = [sigma1,1];
A = -[A;sigma1];
b = zeros(p*N+1,1);

u1 = ones(1,p);
Aeq = kron(ue,u1);
sigma0 = zeros(p,1);
Aeq = [Aeq,sigma0];
beq = Wm;

f = zeros(p*p,1);
f = [f;1];

[Q,fval] = linprog(f,A,b,Aeq,beq);

where p is 3,4,5..... and N = 1000,10000... and Y>0

if N is very small, like less than 10, it's OK.
however, if N is great than 100, or even big,
then it seems like the `linprog` algorithm doesn't take the
equality constraints into consider.

could anyone give me some help?
thank you.

Jun

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