求解线性规划问题

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求解线性规划问题

2023-08-10 08:56| 来源: 网络整理| 查看: 265

'interior-point-legacy' 方法基于 LIPSOL(线性内点求解器,[3]),它是 Mehrotra 预测-校正算法 [2](一种原始-对偶内点方法)的变体。在算法开始迭代之前,您需要采取许多预处理步骤。请参阅内点传统线性规划。

算法的第一阶段可能涉及约束的一些预处理(请参阅内点传统线性规划)。一些情况可能会导致 linprog 退出,并显示不可行性消息。在每种情况下,linprog 都返回一个负值 exitflag,表示失败。

如果在 Aeq 中检测到一行全部为零,但 beq 的对应元素不为零,则退出消息为

Exiting due to infeasibility: An all-zero row in the constraint matrix does not have a zero in corresponding right-hand-side entry.

如果发现 x 的元素之一无下界,则退出消息为

Exiting due to infeasibility: Objective f'*x is unbounded below.

如果 Aeq 的某一行只有一个非零元素,则 x 中与之对应的值称为单值变量。在这种情况下,可以根据 Aeq 和 beq 计算 x 的该分量的值。如果计算的值违反另一个约束,则退出消息为

Exiting due to infeasibility: Singleton variables in equality constraints are not feasible.

如果单值变量可以得到求解,但该解违反上界或下界,则退出消息为

Exiting due to infeasibility: Singleton variables in the equality constraints are not within bounds.

注意

预处理步骤是累积的。例如,即使约束矩阵一开始没有全部为零的行,其他预处理步骤也可能导致出现这样的行。

预处理完成后,算法的迭代部分开始执行,直到满足终止条件。(有关残差、原始问题、对偶问题和相关终止条件的详细信息,请参阅内点传统线性规划。)如果残差在增大而不是减小,或残差既不增大也不减小,则对应显示以下两条终止消息之一,

One or more of the residuals, duality gap, or total relative error has grown 100000 times greater than its minimum value so far:

One or more of the residuals, duality gap, or total relative error has stalled:

显示上述消息后,还将显示以下消息之一,表明对偶问题、原始问题或两者似乎都不可行。

The dual appears to be infeasible (and the primal unbounded). (The primal residual < OptimalityTolerance.)

The primal appears to be infeasible (and the dual unbounded). (The dual residual < OptimalityTolerance.)

The dual appears to be infeasible (and the primal unbounded) since the dual residual > sqrt(OptimalityTolerance). (The primal residual < 10*OptimalityTolerance.)

The primal appears to be infeasible (and the dual unbounded) since the primal residual > sqrt(OptimalityTolerance). (The dual residual < 10*OptimalityTolerance.)

The dual appears to be infeasible and the primal unbounded since the primal objective < -1e+10 and the dual objective < 1e+6.

The primal appears to be infeasible and the dual unbounded since the dual objective > 1e+10 and the primal objective > -1e+6.

Both the primal and the dual appear to be infeasible.

例如,原始(目标)可以无界,原始残差(用于测量原始约束的满足程度)可以很小。



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