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linprog.m
function [x,fval,exitflag,output,lambda] = linprog(f,A,b,Aeq,beq,lb,ub,x0,options)
%Copyright 2020, Gurobi Optimization, LLC
%
%LINPROG A linear programming example using the Gurobi MATLAB interface
%
% This example is based on the linprog interface defined in the
% MATLAB Optimization Toolbox. The Optimization Toolbox
% is a registered trademark of The Math Works, Inc.
%
% x = LINPROG(f,A,b) solves the linear programming problem:
%
% minimize f'*x
% subject to A*x <= b.
%
% For large problems, you can pass A as a sparse matrix and b as a
% sparse vector.
%
% x = LINPROG(f,A,b,Aeq,beq) solves the problem:
%
% minimize f'*x
% subject to A*x <= b,
% Aeq*x == beq.
%
% For large problems, you can pass Aeq as a sparse matrix and beq as a
% sparse vector. You can set A=[] and b=[] if no inequalities exist.
%
% x = LINPROG(f,A,b,Aeq,beq,lb,ub) solves the problem:
%
% minimize f'*x
% subject to A*x <= b,
% Aeq*x == beq,
% lb <= x <= ub.
%
% You can set lb(j) = -inf, if x(j) has no lower bound, and ub(j) = inf,
% if x(j) has no upper bound. You can set Aeq=[] and beq=[] if no
% equalities exist.
%
% x = LINPROG(f,A,b,Aeq,beq,lb,ub,OPTIONS) solves the problem above
% given the specified OPTIONS. Only a subset of possible options have
% any effect:
%
% OPTIONS.Display 'off' or 'none' disables output,
% OPTIONS.MaxTime time limit in seconds.
%
% You can set lb=[] or ub=[] if no bounds exist.
%
% x = LINPROG(PROBLEM) solves PROBLEM, which is a structure that must
% have solver name 'linprog' in PROBLEM.solver. You can also specify
% any of the input arguments above using fields PROBLEM.f, PROBLEM.A, ...
%
% [x,fval] = LINPROG(f,A,b) returns the objective value at the solution.
% That is, fval = f'*x.
%
% [x,fval,exitflag] = LINPROG(f,A,b) returns an exitflag containing the
% status of the optimization. The values for exitflag and the
% corresponding status codes are:
%
% 1 converged to a solution (OPTIMAL),
% 0 maximum number of iterations reached (ITERATION_LIMIT),
% -2 no feasible point found (INFEASIBLE, NUMERIC, ...),
% -3 problem is unbounded (UNBOUNDED).
%
% [x,fval,exitflag,OUTPUT] = LINPROG(f,A,b) returns information about
% the optimization. OUTPUT is a structure with the following fields:
%
% OUTPUT.message Gurobi status code
% OUTPUT.constrviolation maximum violation for constraints and bounds
%
% [x,fval,exitflag,OUTPUT,LAMBDA] = LINPROG(f,A,b) returns the
% Lagrangian multipliers at the solution. LAMBDA is a structure with
% the following fields:
%
% LAMBDA.lower multipliers corresponding to x >= lb
% LAMBDA.upper multipliers corresponding to x <= ub
% LAMBDA.ineqlin multipliers corresponding to A*x <= b
% LAMBDA.eqlin multipliers corresponding to Aeq*x == beq
%
% Initialize missing arguments
if nargin == 1
if isa(f,'struct') && isfield(f,'solver') && strcmpi(f.solver,'linprog')
[f,A,b,Aeq,beq,lb,ub,x0,options] = probstruct2args(f);
else
error('PROBLEM should be a structure with valid fields');
end
elseif nargin < 3 || nargin > 9
error('LINPROG: the number of input arguments is wrong');
elseif nargin < 9
options = struct();
if nargin == 8
if isa(x0,'struct') || isa(x0,'optim.options.SolverOptions')
options = x0; % x0 was omitted and options were passed instead
x0 = [];
end
else
x0 = [];
if nargin < 7
ub = [];
if nargin < 6
lb = [];
if nargin < 5
beq = [];
if nargin < 4
Aeq = [];
end
end
end
end
end
end
% Warn user if x0 argument is ignored
if ~isempty(x0)
warning('LINPROG will ignore non-empty starting point X0');
end
% Build Gurobi model
model.obj = f;
model.A = [sparse(A); sparse(Aeq)]; % A must be sparse
model.sense = [repmat('<',size(A,1),1); repmat('=',size(Aeq,1),1)];
model.rhs = full([b(:); beq(:)]); % rhs must be dense
if ~isempty(lb)
model.lb = lb;
else
model.lb = -inf(size(model.A,2),1); % default lb for MATLAB is -inf
end
if ~isempty(ub)
model.ub = ub;
end
% Extract relevant Gurobi parameters from (subset of) options
params = struct();
if isfield(options,'Display') || isa(options,'optim.options.SolverOptions')
if any(strcmp(options.Display,{'off','none'}))
params.OutputFlag = 0;
end
end
if isfield(options,'MaxTime') || isa(options,'optim.options.SolverOptions')
params.TimeLimit = options.MaxTime;
end
% Solve model with Gurobi
result = gurobi(model,params);
% Resolve model if status is INF_OR_UNBD
if strcmp(result.status,'INF_OR_UNBD')
params.DualReductions = 0;
warning('Infeasible or unbounded, resolve without dual reductions to determine...');
result = gurobi(model,params);
end
% Collect results
x = [];
output.message = result.status;
output.constrviolation = [];
if isfield(result,'x')
x = result.x;
if nargout > 3
slack = model.A*x-model.rhs;
violA = slack(1:size(A,1));
violAeq = norm(slack((size(A,1)+1):end),inf);
viollb = model.lb(:)-x;
violub = 0;
if isfield(model,'ub')
violub = x-model.ub(:);
end
output.constrviolation = max([0; violA; violAeq; viollb; violub]);
end
end
fval = [];
if isfield(result,'objval')
fval = result.objval;
end
if strcmp(result.status,'OPTIMAL')
exitflag = 1; % converged to a solution
elseif strcmp(result.status,'UNBOUNDED')
exitflag = -3; % problem is unbounded
elseif strcmp(result.status,'ITERATION_LIMIT')
exitflag = 0; % maximum number of iterations reached
else
exitflag = -2; % no feasible point found
end
lambda.lower = [];
lambda.upper = [];
lambda.ineqlin = [];
lambda.eqlin = [];
if nargout > 4
if isfield(result,'rc')
lambda.lower = max(0,result.rc);
lambda.upper = -min(0,result.rc);
end
if isfield(result,'pi')
if ~isempty(A)
lambda.ineqlin = -result.pi(1:size(A,1));
end
if ~isempty(Aeq)
lambda.eqlin = -result.pi((size(A,1)+1):end);
end
end
end
% Local Functions =========================================================
function [f,A,b,Aeq,beq,lb,ub,x0,options] = probstruct2args(s)
%PROBSTRUCT2ARGS Get problem structure fields ([] is returned when missing)
f = getstructfield(s,'f');
A = getstructfield(s,'Aineq');
b = getstructfield(s,'bineq');
Aeq = getstructfield(s,'Aeq');
beq = getstructfield(s,'beq');
lb = getstructfield(s,'lb');
ub = getstructfield(s,'ub');
x0 = getstructfield(s,'x0');
options = getstructfield(s,'options');
function f = getstructfield(s,field)
%GETSTRUCTFIELD Get structure field ([] is returned when missing)
if isfield(s,field)
f = getfield(s,field);
else
f = [];
end
