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Chapter Contents
Chapter Introduction
NAG Toolbox

NAG Toolbox: nag_opt_lp_solve (e04mf)

Purpose

nag_opt_lp_solve (e04mf) solves general linear programming problems. It is not intended for large sparse problems.

Syntax

[istate, x, iter, obj, ax, clamda, lwsav, iwsav, rwsav, ifail] = e04mf(a, bl, bu, cvec, istate, x, lwsav, iwsav, rwsav, 'n', n, 'nclin', nclin)
[istate, x, iter, obj, ax, clamda, lwsav, iwsav, rwsav, ifail] = nag_opt_lp_solve(a, bl, bu, cvec, istate, x, lwsav, iwsav, rwsav, 'n', n, 'nclin', nclin)
Before calling nag_opt_lp_solve (e04mf), or the option setting function (e04mh), nag_opt_init (e04wb) must be called.

Description

nag_opt_lp_solve (e04mf) is designed to solve linear programming (LP) problems of the form
minimize cTx,   subject to  l{
x
Ax
}
u,
xRn
minimize xRn cTx,   subject to  l{ x Ax } u,
where cc is an nn-element vector and AA is an mLmL by nn matrix.
This is the default type of problem, referred to as type LP. The optional parameter Problem Type may be used to specify an alternative problem type FP, in which the objective function is omitted and the function attempts to find a feasible point for the set of constraints.
The constraints involving AA are called the general constraints. Note that upper and lower bounds are specified for all the variables and for all the general constraints. An equality constraint can be specified by setting li = uili=ui. If certain bounds are not present, the associated elements of ll or uu can be set to special values that will be treated as - or + +. (See the description of the optional parameter Infinite Bound Size.)
You must supply an initial estimate of the solution.
The method used by nag_opt_lp_solve (e04mf) is described in detail in Section [Algorithmic Details].

References

Gill P E, Hammarling S, Murray W, Saunders M A and Wright M H (1986) Users' guide for LSSOL (Version 1.0) Report SOL 86-1 Department of Operations Research, Stanford University
Gill P E and Murray W (1978) Numerically stable methods for quadratic programming Math. Programming 14 349–372
Gill P E, Murray W, Saunders M A and Wright M H (1984) Procedures for optimization problems with a mixture of bounds and general linear constraints ACM Trans. Math. Software 10 282–298
Gill P E, Murray W, Saunders M A and Wright M H (1989) A practical anti-cycling procedure for linearly constrained optimization Math. Programming 45 437–474
Gill P E, Murray W, Saunders M A and Wright M H (1991) Inertia-controlling methods for general quadratic programming SIAM Rev. 33 1–36
Gill P E, Murray W and Wright M H (1981) Practical Optimization Academic Press

Parameters

Compulsory Input Parameters

1:     a(lda, : :) – double array
The first dimension of the array a must be at least max (1,nclin)max(1,nclin)
The second dimension of the array must be at least nn if nclin > 0nclin>0 and at least 11 if nclin = 0nclin=0
The iith row of a must contain the coefficients of the iith general linear constraint, for i = 1,2,,mLi=1,2,,mL.
If nclin = 0nclin=0, a is not referenced.
2:     bl(n + nclinn+nclin) – double array
3:     bu(n + nclinn+nclin) – double array
Must contain the lower bounds and bu the upper bounds, for all the constraints in the following order. The first nn elements of each array must contain the bounds on the variables, and the next mLmL elements the bounds for the general linear constraints (if any). To specify a nonexistent lower bound (i.e., lj = lj=-), set bl(j)bigbndblj-bigbnd, and to specify a nonexistent upper bound (i.e., uj = + uj=+), set bu(j)bigbndbujbigbnd; the default value of bigbndbigbnd is 10201020, but this may be changed by the optional parameter Infinite Bound Size. To specify the jjth constraint as an equality, set bl(j) = bu(j) = βblj=buj=β, say, where |β| < bigbnd|β|<bigbnd.
Constraints:
  • bl(j)bu(j)bljbuj, for j = 1,2,,n + nclinj=1,2,,n+nclin;
  • if bl(j) = bu(j) = βblj=buj=β, |β| < bigbnd|β|<bigbnd.
4:     cvec( : :) – double array
Note: the dimension of the array cvec must be at least nn if the problem is of type LP (the default), and at least 11 otherwise.
The coefficients of the objective function when the problem is of type LP.
If the problem is of type FP, cvec is not referenced.
5:     istate(n + nclinn+nclin) – int64int32nag_int array
Need not be set if the (default) optional parameter Cold Start is used.
If the optional parameter Warm Start has been chosen, istate specifies the desired status of the constraints at the start of the feasibility phase. More precisely, the first nn elements of istate refer to the upper and lower bounds on the variables, and the next mLmL elements refer to the general linear constraints (if any). Possible values for istate(j)istatej are as follows:
istate(j)istatej Meaning
0 The corresponding constraint should not be in the initial working set.
1 The constraint should be in the initial working set at its lower bound.
2 The constraint should be in the initial working set at its upper bound.
3 The constraint should be in the initial working set as an equality. This value must not be specified unless bl(j) = bu(j)blj=buj.
The values 2-2, 1-1 and 44 are also acceptable but will be reset to zero by the function. If nag_opt_lp_solve (e04mf) has been called previously with the same values of n and nclin, istate already contains satisfactory information. (See also the description of the optional parameter Warm Start.) The function also adjusts (if necessary) the values supplied in x to be consistent with istate.
Constraint: 2istate(j)4-2istatej4, for j = 1,2,,n + nclinj=1,2,,n+nclin.
6:     x(n) – double array
n, the dimension of the array, must satisfy the constraint n > 0n>0.
An initial estimate of the solution.
7:     lwsav(120120) – logical array
8:     iwsav(610610) – int64int32nag_int array
9:     rwsav(475475) – double array
The arrays lwsav, iwsav and rwsav must not be altered between calls to any of the functions nag_opt_lp_solve (e04mf), (e04mg), (e04mh) or nag_opt_init (e04wb).

Optional Input Parameters

1:     n – int64int32nag_int scalar
Default: The dimension of the array x.
nn, the number of variables.
Constraint: n > 0n>0.
2:     nclin – int64int32nag_int scalar
Default: The first dimension of the array a.
mLmL, the number of general linear constraints.
Constraint: nclin0nclin0.

Input Parameters Omitted from the MATLAB Interface

lda iwork liwork work lwork

Output Parameters

1:     istate(n + nclinn+nclin) – int64int32nag_int array
The status of the constraints in the working set at the point returned in x. The significance of each possible value of istate(j)istatej is as follows:
istate(j)istatej Meaning
2-2 The constraint violates its lower bound by more than the feasibility tolerance.
1-1 The constraint violates its upper bound by more than the feasibility tolerance.
0-0 The constraint is satisfied to within the feasibility tolerance, but is not in the working set.
1-1 This inequality constraint is included in the working set at its lower bound.
2-2 This inequality constraint is included in the working set at its upper bound.
3-3 This constraint is included in the working set as an equality. This value of istate can occur only when bl(j) = bu(j)blj=buj.
4-4 This corresponds to optimality being declared with x(j)xj being temporarily fixed at its current value. This value of istate can occur only when ifail = 1ifail=1 on exit.
2:     x(n) – double array
The point at which nag_opt_lp_solve (e04mf) terminated. If ifail = 0ifail=0, 11 or 44, x contains an estimate of the solution.
3:     iter – int64int32nag_int scalar
The total number of iterations performed.
4:     obj – double scalar
The value of the objective function at xx if xx is feasible, or the sum of infeasibiliites at xx otherwise. If the problem is of type FP and xx is feasible, obj is set to zero.
5:     ax(max (1,nclin)max(1,nclin)) – double array
The final values of the linear constraints AxAx.
If nclin = 0nclin=0, ax is not referenced.
6:     clamda(n + nclinn+nclin) – double array
The values of the Lagrange multipliers for each constraint with respect to the current working set. The first nn elements contain the multipliers for the bound constraints on the variables, and the next mLmL elements contain the multipliers for the general linear constraints (if any). If istate(j) = 0istatej=0 (i.e., constraint jj is not in the working set), clamda(j)clamdaj is zero. If xx is optimal, clamda(j)clamdaj should be non-negative if istate(j) = 1istatej=1, non-positive if istate(j) = 2istatej=2 and zero if istate(j) = 4istatej=4.
7:     lwsav(120120) – logical array
8:     iwsav(610610) – int64int32nag_int array
9:     rwsav(475475) – double array
10:   ifail – int64int32nag_int scalar
ifail = 0ifail=0 unless the function detects an error (see [Error Indicators and Warnings]).
nag_opt_lp_solve (e04mf) returns with ifail = 0ifail=0 if xx is a strong local minimizer, i.e., the reduced gradient (Norm Gz; see Section [Printed Output]) is negligible and the Lagrange multipliers (Lagr Mult; see Section [Printed Output]) are optimal.

Error Indicators and Warnings

Note: nag_opt_lp_solve (e04mf) may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the function:

Cases prefixed with W are classified as warnings and do not generate an error of type NAG:error_n. See nag_issue_warnings.

W ifail = 1ifail=1
xx is a weak local minimum (the projected gradient is negligible and the Lagrange multipliers are optimal but there is a small multiplier). This means that the solution is not unique.
W ifail = 2ifail=2
The solution appears to be unbounded, i.e., the objective function is not bounded below in the feasible region. This value of ifail occurs if a step larger than Infinite Step Size (default value = 1020default value=1020) would have to be taken in order to continue the algorithm, or the next step would result in an element of xx having magnitude larger than optional parameter Infinite Bound Size (default value = 1020default value=1020).
W ifail = 3ifail=3
No feasible point was found, i.e., it was not possible to satisfy all the constraints to within the feasibility tolerance. In this case, the constraint violations at the final xx will reveal a value of the tolerance for which a feasible point will exist – for example, when the feasibility tolerance for each violated constraint exceeds its Slack (see Section [Printed Output]) at the final point. The modified problem (with an altered feasibility tolerance) may then be solved using a Warm Start. You should check that there are no constraint redundancies. If the data for the constraints are accurate only to the absolute precision σσ, you should ensure that the value of the optional parameter Feasibility Tolerance (default value = sqrt(ε)default value=ε, where εε is the machine precision) is greater than σσ. For example, if all elements of AA are of order unity and are accurate only to three decimal places, the Feasibility Tolerance should be at least 10310-3.
  ifail = 4ifail=4
The limiting number of iterations was reached before normal termination occurred.
The value of the optional parameter Iteration Limit ( default value = max (50,5(n + mL)) default value = max(50,5(n+mL)) ) may be too small. If the method appears to be making progress (e.g., the objective function is being satisfactorily reduced), either rerun nag_opt_lp_solve (e04mf) with a larger value of Iteration Limit or, alternatively, rerun nag_opt_lp_solve (e04mf) using the Warm Start facility to specify the initial working set.
  ifail = 5ifail=5
Not used by this function.
  ifail = 6ifail=6
An input parameter is invalid.
  ifail = 7ifail=7
The designated problem type was not FP or LP. Rerun nag_opt_lp_solve (e04mf) with the optional parameter Problem Type set to one of these values.
  OverflowOverflow
If the printed output before the overflow error contains a warning about serious ill-conditioning in the working set when adding the jjth constraint, it may be possible to avoid the difficulty by increasing the magnitude of the Feasibility Tolerance (default value = sqrt(ε)default value=ε, where εε is the machine precision) and rerunning the program. If the message recurs even after this change, the offending linearly dependent constraint (with index ‘jj’) must be removed from the problem.

Accuracy

nag_opt_lp_solve (e04mf) implements a numerically stable active set strategy and returns solutions that are as accurate as the condition of the problem warrants on the machine.

Further Comments

This section contains some comments on scaling and a description of the printed output.

Scaling

Sensible scaling of the problem is likely to reduce the number of iterations required and make the problem less sensitive to perturbations in the data, thus improving the condition of the problem. In the absence of better information it is usually sensible to make the Euclidean lengths of each constraint of comparable magnitude. See the E04 Chapter Introduction and Gill et al. (1981) for further information and advice.

Description of the Printed Output

The following line of summary output ( < 80<80 characters) is produced at every iteration. In all cases, the values of the quantities printed are those in effect on completion of the given iteration.
Itn is the iteration count.
Step is the step taken along the computed search direction. If a constraint is added during the current iteration, Step will be the step to the nearest constraint. When the problem is of type LP, the step can be greater than one during the optimality phase.
Ninf is the number of violated constraints (infeasibilities). This will be zero during the optimality phase.
Sinf/Objective is the value of the current objective function. If xx is not feasible, Sinf gives a weighted sum of the magnitudes of constraint violations. If xx is feasible, Objective is the value of the objective function of (1). The output line for the final iteration of the feasibility phase (i.e., the first iteration for which Ninf is zero) will give the value of the true objective at the first feasible point.
During the optimality phase the value of the objective function will be nonincreasing. During the feasibility phase the number of constraint infeasibilities will not increase until either a feasible point is found or the optimality of the multipliers implies that no feasible point exists. Once optimal multipliers are obtained the number of infeasibilities can increase, but the sum of infeasibilities will either remain constant or be reduced until the minimum sum of infeasibilities is found.
Norm Gz is ZRTgFR ZRT gFR , the Euclidean norm of the reduced gradient with respect to ZRZR. During the optimality phase, this norm will be approximately zero after a unit step. (See Sections [Definition of Search Direction] and [Choosing the Initial Working Set].)
The final printout includes a listing of the status of every variable and constraint.
The following describes the printout for each variable. A full stop (.) is printed for any numerical value that is zero.
Varbl gives the name (V) and index jj, for j = 1,2,,nj=1,2,,n, of the variable.
State gives the state of the variable (FR if neither bound is in the working set, EQ if a fixed variable, LL if on its lower bound, UL if on its upper bound, TF if temporarily fixed at its current value). If Value lies outside the upper or lower bounds by more than the Feasibility Tolerance, State will be ++ or -- respectively.
A key is sometimes printed before State.
A Alternative optimum possible. The variable is active at one of its bounds, but its Lagrange multiplier is essentially zero. This means that if the variable were allowed to start moving away from its bound then there would be no change to the objective function. The values of the other free variables might change, giving a genuine alternative solution. However, if there are any degenerate variables (labelled D), the actual change might prove to be zero, since one of them could encounter a bound immediately. In either case the values of the Lagrange multipliers might also change.
D Degenerate. The variable is free, but it is equal to (or very close to) one of its bounds.
I Infeasible. The variable is currently violating one of its bounds by more than the Feasibility Tolerance.
Value is the value of the variable at the final iteration.
Lower Bound is the lower bound specified for the variable. None indicates that bl(j)bigbndblj-bigbnd.
Upper Bound is the upper bound specified for the variable. None indicates that bu(j)bigbndbujbigbnd.
Lagr Mult is the Lagrange multiplier for the associated bound. This will be zero if State is FR unless bl(j)bigbndblj-bigbnd and bu(j)bigbndbujbigbnd, in which case the entry will be blank. If xx is optimal, the multiplier should be non-negative if State is LL and non-positive if State is UL.
Slack is the difference between the variable Value and the nearer of its (finite) bounds bl(j)blj and bu(j)buj. A blank entry indicates that the associated variable is not bounded (i.e., bl(j)bigbndblj-bigbnd and bu(j)bigbndbujbigbnd).
The meaning of the printout for general constraints is the same as that given above for variables, with ‘variable’ replaced by ‘constraint’, bl(j)blj and bu(j)buj are replaced by bl(n + j)bln+j and bu(n + j)bun+j respectively, and with the following change in the heading:
L Con gives the name (L) and index jj, for j = 1,2,,nLj=1,2,,nL, of the linear constraint.
Note that movement off a constraint (as opposed to a variable moving away from its bound) can be interpreted as allowing the entry in the Slack column to become positive.
Numerical values are output with a fixed number of digits; they are not guaranteed to be accurate to this precision.

Example

function nag_opt_lp_solve_example
a = [1, 1, 1, 1, 1, 1, 1;
     0.15, 0.04, 0.02, 0.04, 0.02, 0.01, 0.03;
     0.03, 0.05, 0.08, 0.02, 0.06, 0.01, 0;
     0.02, 0.04, 0.01, 0.02, 0.02, 0, 0;
     0.02, 0.03, 0, 0, 0.01, 0, 0;
     0.7, 0.75, 0.8, 0.75, 0.8, 0.97, 0;
     0.02, 0.06, 0.08, 0.12, 0.02, 0.01, 0.97];
bl = [-0.01;
     -0.1;
     -0.01;
     -0.04;
     -0.1;
     -0.01;
     -0.01;
     -0.13;
     -1e25;
     -1e25;
     -1e25;
     -1e25;
     -0.0992;
     -0.003];
bu = [0.01;
     0.15;
     0.03;
     0.02;
     0.05;
     1e25;
     1e25;
     -0.13;
     -0.0049;
     -0.0064;
     -0.0037;
     -0.0012;
     1e25;
     0.002];
cvec = [-0.02; -0.2; -0.2; -0.2; -0.2; 0.04; 0.04];
istate = zeros(14, 1, 'int64');
x = [-0.01;
     -0.03;
     0;
     -0.01;
     -0.1;
     0.02;
     0.01];
[cwsav,lwsav,iwsav,rwsav,ifail] = nag_opt_init('nag_opt_lp_solve');
[istateOut, xOut, iter, obj, ax, clamda, lwsavOut, iwsavOut, rwsavOut, ifail] = ...
    nag_opt_lp_solve(a, bl, bu, cvec, istate, x, lwsav, iwsav, rwsav);
 istateOut, xOut, iter, obj, ax, clamda, ifail
 

istateOut =

                    1
                    1
                    2
                    2
                    0
                    0
                    0
                    3
                    0
                    0
                    0
                    0
                    1
                    1


xOut =

   -0.0100
   -0.1000
    0.0300
    0.0200
   -0.0675
   -0.0023
   -0.0002


iter =

                    7


obj =

    0.0236


ax =

   -0.1300
   -0.0055
   -0.0066
   -0.0048
   -0.0039
   -0.0992
   -0.0030


clamda =

    0.3301
    0.0144
   -0.0910
   -0.0766
         0
         0
         0
   -1.4311
         0
         0
         0
         0
    1.5010
    1.5166


ifail =

                    0


function e04mf_example
a = [1, 1, 1, 1, 1, 1, 1;
     0.15, 0.04, 0.02, 0.04, 0.02, 0.01, 0.03;
     0.03, 0.05, 0.08, 0.02, 0.06, 0.01, 0;
     0.02, 0.04, 0.01, 0.02, 0.02, 0, 0;
     0.02, 0.03, 0, 0, 0.01, 0, 0;
     0.7, 0.75, 0.8, 0.75, 0.8, 0.97, 0;
     0.02, 0.06, 0.08, 0.12, 0.02, 0.01, 0.97];
bl = [-0.01;
     -0.1;
     -0.01;
     -0.04;
     -0.1;
     -0.01;
     -0.01;
     -0.13;
     -1e25;
     -1e25;
     -1e25;
     -1e25;
     -0.0992;
     -0.003];
bu = [0.01;
     0.15;
     0.03;
     0.02;
     0.05;
     1e25;
     1e25;
     -0.13;
     -0.0049;
     -0.0064;
     -0.0037;
     -0.0012;
     1e25;
     0.002];
cvec = [-0.02; -0.2; -0.2; -0.2; -0.2; 0.04; 0.04];
istate = zeros(14, 1, 'int64');
x = [-0.01;
     -0.03;
     0;
     -0.01;
     -0.1;
     0.02;
     0.01];
[cwsav,lwsav,iwsav,rwsav,ifail] = e04wb('e04mf');
[istateOut, xOut, iter, obj, ax, clamda, lwsavOut, iwsavOut, rwsavOut, ifail] = ...
    e04mf(a, bl, bu, cvec, istate, x, lwsav, iwsav, rwsav);
 istateOut, xOut, iter, obj, ax, clamda, ifail
 

istateOut =

                    1
                    1
                    2
                    2
                    0
                    0
                    0
                    3
                    0
                    0
                    0
                    0
                    1
                    1


xOut =

   -0.0100
   -0.1000
    0.0300
    0.0200
   -0.0675
   -0.0023
   -0.0002


iter =

                    7


obj =

    0.0236


ax =

   -0.1300
   -0.0055
   -0.0066
   -0.0048
   -0.0039
   -0.0992
   -0.0030


clamda =

    0.3301
    0.0144
   -0.0910
   -0.0766
         0
         0
         0
   -1.4311
         0
         0
         0
         0
    1.5010
    1.5166


ifail =

                    0


Note: the remainder of this document is intended for more advanced users. Section [Algorithmic Details] contains a detailed description of the algorithm which may be needed in order to understand Sections [Optional Parameters] and [Description of Monitoring Information]. Section [Optional Parameters] describes the optional parameters which may be set by calls to nag_opt_lp_option_string (e04mh). Section [Description of Monitoring Information] describes the quantities which can be requested to monitor the course of the computation.

Algorithmic Details

This section contains a detailed description of the method used by nag_opt_lp_solve (e04mf).

Overview

nag_opt_lp_solve (e04mf) is based on an inertia-controlling method due to Gill and Murray (1978), and is described in detail by Gill et al. (1991). Here we briefly summarise the main features of the method. Where possible, explicit reference is made to the names of variables that are parameters of nag_opt_lp_solve (e04mf) or appear in the printed output. nag_opt_lp_solve (e04mf) has two phases: finding an initial feasible point by minimizing the sum of infeasibilities (the feasibility phase), and minimizing the linear objective function within the feasible region (the optimality phase). The computations in both phases are performed by the same functions. The two-phase nature of the algorithm is reflected by changing the function being minimized from the sum of infeasibilities to the linear objective function. The feasibility phase does not perform the standard simplex method (i.e., it does not necessarily find a vertex), except in the case when mLnmLn. Once any iterate is feasible, all subsequent iterates remain feasible.
In general, an iterative process is required to solve a linear program. (For simplicity, we shall always consider a typical iteration and avoid reference to the index of the iteration.) Each new iterate xx- is defined by
x = x + αp,
x-=x+αp,
(1)
where the step length αα is a non-negative scalar, and pp is called the search direction.
At each point xx, a working set of constraints is defined to be a linearly independent subset of the constraints that are satisfied ‘exactly’ (to within the tolerance defined by the optional parameter Feasibility Tolerance). The working set is the current prediction of the constraints that hold with equality at a solution of an LP problem. The search direction is constructed so that the constraints in the working set remain unaltered for any value of the step length. For a bound constraint in the working set, this property is achieved by setting the corresponding element of the search direction to zero. Thus, the associated variable is fixed, and specification of the working set induces a partition of xx into fixed and free variables. During a given iteration, the fixed variables are effectively removed from the problem; since the relevant elements of the search direction are zero, the columns of AA corresponding to fixed variables may be ignored.
Let mWmW denote the number of general constraints in the working set and let nFXnFX denote the number of variables fixed at one of their bounds (mWmW and nFXnFX are the quantities Lin and Bnd in the monitoring file output from nag_opt_lp_solve (e04mf); see Section [Description of Monitoring Information]). Similarly, let nFRnFR (nFR = nnFXnFR=n-nFX) denote the number of free variables. At every iteration, the variables are reordered so that the last nFXnFX variables are fixed, with all other relevant vectors and matrices ordered accordingly.

Definition of Search Direction

Let AFRAFR denote the mWmW by nFRnFR sub-matrix of general constraints in the working set corresponding to the free variables, and let pFRpFR denote the search direction with respect to the free variables only. The general constraints in the working set will be unaltered by any move along pp if
AFRpFR = 0.
AFRpFR=0.
(2)
In order to compute pFRpFR, the TQTQ factorization of AFRAFR is used:
AFRQFR = (0T),
AFRQFR=(0T),
(3)
where TT is a nonsingular mWmW by mWmW upper triangular matrix (i.e., tij = 0tij=0 if i > ji>j), and the nonsingular nFRnFR by nFRnFR matrix QFRQFR is the product of orthogonal transformations (see Gill et al. (1984)). If the columns of QFRQFR are partitioned so that
QFR = (ZY),
QFR=(ZY),
where YY is nFRnFR by mWmW, then the nZnZ (nZ = nFRmWnZ=nFR-mW) columns of ZZ form a basis for the null space of AFRAFR. Let nRnR be an integer such that 0nRnZ0nRnZ, and let ZRZR denote a matrix whose nRnR columns are a subset of the columns of ZZ. (The integer nRnR is the quantity Zr in the monitoring file output from nag_opt_lp_solve (e04mf). In many cases, ZRZR will include all the columns of ZZ.) The direction pFRpFR will satisfy (2) if
pFR = ZRpR
pFR=ZRpR
(4)
where pRpR is any nRnR-vector.

Main Iteration

Let QQ denote the nn by nn matrix
Q =
(QFR)
IFX
,
Q= QFR IFX ,
where IFXIFX is the identity matrix of order nFXnFX. Let gQgQ denote the transformed gradient
gQ = QTc
gQ=QTc
and let the vector of the first nRnR elements of gQgQ be denoted by gRgR. The quantity gRgR is known as the reduced gradient of cTxcTx. If the reduced gradient is zero, xx is a constrained stationary point in the subspace defined by ZZ. During the feasibility phase, the reduced gradient will usually be zero only at a vertex (although it may be zero at non-vertices in the presence of constraint dependencies). During the optimality phase, a zero reduced gradient implies that xx minimizes the linear objective when the constraints in the working set are treated as equalities. At a constrained stationary point, Lagrange multipliers λCλC and λBλB for the general and bound constraints are defined from the equations
AFRTλC = gFR  and  λB = gFXAFXTλC.
AFRTλC=gFR  and  λB=gFX-AFXTλC.
(5)
Given a positive constant δδ of the order of the machine precision, a Lagrange multiplier λjλj corresponding to an inequality constraint in the working set is said to be optimal if λjδλjδ when the associated constraint is at its upper bound, or if λjδλj-δ when the associated constraint is at its lower bound. If a multiplier is nonoptimal, the objective function (either the true objective or the sum of infeasibilities) can be reduced by deleting the corresponding constraint (with index Jdel; see Section [Description of Monitoring Information]) from the working set.
If optimal multipliers occur during the feasibility phase and the sum of infeasibilities is nonzero, there is no feasible point, and you can force nag_opt_lp_solve (e04mf) to continue until the minimum value of the sum of infeasibilities has been found; see the discussion of the optional parameter Minimum Sum of Infeasibilities. At such a point, the Lagrange multiplier λjλj corresponding to an inequality constraint in the working set will be such that (1 + δ)λjδ-(1+δ)λjδ when the associated constraint is at its upper bound, and δλj(1 + δ)-δλj(1+δ) when the associated constraint is at its lower bound. Lagrange multipliers for equality constraints will satisfy |λj|1 + δ|λj|1+δ.
If the reduced gradient is not zero, Lagrange multipliers need not be computed and the nonzero elements of the search direction pp are given by ZRpRZRpR. The choice of step length is influenced by the need to maintain feasibility with respect to the satisfied constraints.
Each change in the working set leads to a simple change to AFRAFR: if the status of a general constraint changes, a row of AFRAFR is altered; if a bound constraint enters or leaves the working set, a column of AFRAFR changes. Explicit representations are recurred of the matrices TT and QFRQFR; and of vectors QTgQTg, and QTcQTc.
One of the most important features of nag_opt_lp_solve (e04mf) is its control of the conditioning of the working set, whose nearness to linear dependence is estimated by the ratio of the largest to smallest diagonal elements of the TQTQ factor TT (the printed value Cond T; see Section [Description of Monitoring Information]). In constructing the initial working set, constraints are excluded that would result in a large value of Cond T.
nag_opt_lp_solve (e04mf) includes a rigorous procedure that prevents the possibility of cycling at a point where the active constraints are nearly linearly dependent (see Gill et al. (1989)). The main feature of the anti-cycling procedure is that the feasibility tolerance is increased slightly at the start of every iteration. This not only allows a positive step to be taken at every iteration, but also provides, whenever possible, a choice of constraints to be added to the working set. Let αMαM denote the maximum step at which x + αMpx+αMp does not violate any constraint by more than its feasibility tolerance. All constraints at a distance αα (ααMααM) along pp from the current point are then viewed as acceptable candidates for inclusion in the working set. The constraint whose normal makes the largest angle with the search direction is added to the working set.

Choosing the Initial Working Set

Let ZZ be partitioned as Z = (ZRZA)Z=(ZRZA). A working set for which ZRZR defines the null space can be obtained by including the rows of ZAT ZAT  as ‘artificial constraints’. Minimization of the objective function then proceeds within the subspace defined by ZRZR, as described in Section [Definition of Search Direction].
The artificially augmented working set is given by
AFR =
(ZAT)
AFR
,
A-FR= ZAT AFR ,
(6)
so that pFRpFR will satisfy AFRpFR = 0AFRpFR=0 and ZAT pFR = 0 ZAT pFR = 0 . By definition of the TQTQ factorization, AFRA-FR automatically satisfies the following:
AFRQFR =
(ZAT)
AFR
QFR =
(ZAT)
AFR
(ZRZAY)
=
(0T)
,
A-FRQFR= ZAT AFR QFR= ZAT AFR ZR ZA Y = 0 T- ,
where
T =
(I0)
0 T
,
T-= I 0 0 T ,
and hence the TQTQ factorization of (6) is available trivially from TT and QFRQFR without additional expense.
The matrix ZAZA is not kept fixed, since its role is purely to define an appropriate null space; the TQTQ factorization can therefore be updated in the normal fashion as the iterations proceed. No work is required to ‘delete’ the artificial constraints associated with ZA ZA  when ZRT gFR = 0 ZRT gFR = 0 , since this simply involves repartitioning QFRQFR. The ‘artificial’ multiplier vector associated with the rows of ZAT ZAT  is equal to ZAT gFR ZAT gFR , and the multipliers corresponding to the rows of the ‘true’ working set are the multipliers that would be obtained if the artificial constraints were not present. If an artificial constraint is ‘deleted’ from the working set, an A appears alongside the entry in the Jdel column of the monitoring file output (see Section [Description of Monitoring Information]).
The number of columns in ZAZA and ZRZR and the Euclidean norm of ZRT gFR ZRT gFR , appear in the monitoring file output as Art, Zr and Norm Gz respectively (see Section [Description of Monitoring Information]).
Under some circumstances, a different type of artificial constraint is used when solving a linear program. Although the algorithm of nag_opt_lp_solve (e04mf) does not usually perform simplex steps (in the traditional sense), there is one exception: a linear program with fewer general constraints than variables (i.e., mLnmLn). Use of the simplex method in this situation leads to savings in storage. At the starting point, the ‘natural’ working set (the set of constraints exactly or nearly satisfied at the starting point) is augmented with a suitable number of ‘temporary’ bounds, each of which has the effect of temporarily fixing a variable at its current value. In subsequent iterations, a temporary bound is treated as a standard constraint until it is deleted from the working set, in which case it is never added again. If a temporary bound is ‘deleted’ from the working set, an F (for ‘Fixed’) appears alongside the entry in the Jdel column of the monitoring file output (see Section [Description of Monitoring Information]).

Optional Parameters

Several optional parameters in nag_opt_lp_solve (e04mf) define choices in the problem specification or the algorithm logic. In order to reduce the number of formal parameters of nag_opt_lp_solve (e04mf) these optional parameters have associated default values that are appropriate for most problems. Therefore, you need only specify those optional parameters whose values are to be different from their default values.
The remainder of this section can be skipped if you wish to use the default values for all optional parameters.
The following is a list of the optional parameters available. A full description of each optional parameter is provided in Section [Description of the optional parameters].
Optional parameters may be specified by calling nag_opt_lp_option_string (e04mh) before a call to nag_opt_lp_solve (e04mf).
nag_opt_lp_option_string (e04mh) can be called to supply options directly, one call being necessary for each optional parameter. For example,
[lwsav, iwsav, rwsav, inform] = e04mh('Print Level = 5', lwsav, iwsav, rwsav);
nag_opt_lp_option_string (e04mh) should be consulted for a full description of this method of supplying optional parameters.
All optional parameters not specified by you are set to their default values. Optional parameters specified by you are unaltered by nag_opt_lp_solve (e04mf) (unless they define invalid values) and so remain in effect for subsequent calls unless altered by you.

Description of the Optional Parameters

For each option, we give a summary line, a description of the optional parameter and details of constraints.
The summary line contains:
Keywords and character values are case and white space insensitive.
Check Frequency  ii
Default = 50=50
Every iith iteration, a numerical test is made to see if the current solution xx satisfies the constraints in the working set. If the largest residual of the constraints in the working set is judged to be too large, the current working set is refactorized and the variables are recomputed to satisfy the constraints more accurately. If i0i0, the default value is used.
Cold Start  
Default
Warm Start  
This option specifies how the initial working set is chosen. With a Cold Start, nag_opt_lp_solve (e04mf) chooses the initial working set based on the values of the variables and constraints at the initial point. Broadly speaking, the initial working set will include equality constraints and bounds or inequality constraints that violate or ‘nearly’ satisfy their bounds (to within Crash Tolerance).
With a Warm Start, you must provide a valid definition of every element of the array istate. nag_opt_lp_solve (e04mf) will override your specification of istate if necessary, so that a poor choice of the working set will not cause a fatal error. For instance, any elements of istate which are set to 2-2, 1​ or ​4-1​ or ​4 will be reset to zero, as will any elements which are set to 33 when the corresponding elements of bl and bu are not equal. A warm start will be advantageous if a good estimate of the initial working set is available – for example, when nag_opt_lp_solve (e04mf) is called repeatedly to solve related problems.
Crash Tolerance  rr
Default = 0.01=0.01
This value is used in conjunction with the optional parameter Cold Start (the default value) when nag_opt_lp_solve (e04mf) selects an initial working set. If 0r10r1, the initial working set will include (if possible) bounds or general inequality constraints that lie within rr of their bounds. In particular, a constraint of the form ajT xl ajT xl  will be included in the initial working set if |ajTxl| r (1 + |l|) | ajT x-l | r (1+|l|) . If r < 0r<0 or r > 1r>1, the default value is used.
Defaults  
This special keyword may be used to reset all optional parameters to their default values.
Expand Frequency  ii
Default = 5=5
This option is part of an anti-cycling procedure designed to guarantee progress even on highly degenerate problems.
The strategy is to force a positive step at every iteration, at the expense of violating the constraints by a small amount. Suppose that the value of the optional parameter Feasibility Tolerance is δδ. Over a period of ii iterations, the feasibility tolerance actually used by nag_opt_lp_solve (e04mf) (i.e., the working feasibility tolerance) increases from 0.5δ0.5δ to δδ (in steps of 0.5δ / i0.5δ/i).
At certain stages the following ‘resetting procedure’ is used to remove constraint infeasibilities. First, all variables whose upper or lower bounds are in the working set are moved exactly onto their bounds. A count is kept of the number of nontrivial adjustments made. If the count is positive, iterative refinement is used to give variables that satisfy the working set to (essentially) machine precision. Finally, the working feasibility tolerance is reinitialized to 0.5δ0.5δ.
If a problem requires more than ii iterations, the resetting procedure is invoked and a new cycle of ii iterations is started with ii incremented by 1010. (The decision to resume the feasibility phase or optimality phase is based on comparing any constraint infeasibilities with δδ.)
The resetting procedure is also invoked when nag_opt_lp_solve (e04mf) reaches an apparently optimal, infeasible or unbounded solution, unless this situation has already occurred twice. If any nontrivial adjustments are made, iterations are continued.
If i0i0, the default value is used. If i9999999i9999999, no anti-cycling procedure is invoked.
Feasibility Tolerance  rr
Default = sqrt(ε)=ε
If rεrε, rr defines the maximum acceptable absolute violation in each constraint at a ‘feasible’ point. For example, if the variables and the coefficients in the general constraints are of order unity, and the latter are correct to about 66 decimal digits, it would be appropriate to specify rr as 10610-6. If 0r < ε0r<ε, the default value is used.
nag_opt_lp_solve (e04mf) attempts to find a feasible solution before optimizing the objective function. If the sum of infeasibilities cannot be reduced to zero, the optional parameter Minimum Sum of Infeasibilities can be used to find the minimum value of the sum. Let Sinf be the corresponding sum of infeasibilities. If Sinf is quite small, it may be appropriate to raise rr by a factor of 1010 or 100100. Otherwise, some error in the data should be suspected.
Note that a ‘feasible solution’ is a solution that satisfies the current constraints to within the tolerance rr.
Infinite Bound Size  rr
Default = 1020=1020
If r > 0r>0, rr defines the ‘infinite’ bound bigbndbigbnd in the definition of the problem constraints. Any upper bound greater than or equal to bigbndbigbnd will be regarded as + + (and similarly any lower bound less than or equal to bigbnd-bigbnd will be regarded as -). If r < 0r<0, the default value is used.
Infinite Step Size  rr
Default = max (bigbnd,1020)=max(bigbnd,1020)
If r > 0r>0, rr specifies the magnitude of the change in variables that will be considered a step to an unbounded solution. (Note that an unbounded solution can occur only when the problem is of type LP.) If the change in xx during an iteration would exceed the value of rr, the objective function is considered to be unbounded below in the feasible region. If r0r0, the default value is used.
Iteration Limit  ii
Default = max (50,5(n + mL))=max(50,5(n+mL))
Iters  
Itns  
The value of ii specifies the maximum number of iterations allowed before termination. With i = 0i=0 and Print Level > 0Print Level>0, the workspace needed will be computed and printed, but no iterations will be performed. If i < 0i<0, the default value is used.
List  
Default for e04mf = Liste04mf=List
Nolist  
Default for e04mf = Noliste04mf=Nolist
Normally each optional parameter specification is printed as it is supplied. Optional parameter Nolist may be used to suppress the printing and optional parameter List may be used to restore printing.
Minimum Sum of Infeasibilities  NoNo
Default = NO=NO
If no feasible point exists for the constraints, this option is used to control whether or not nag_opt_lp_solve (e04mf) will calculate a point that minimizes the constraint violations. If Minimum Sum of Infeasibilities = NOMinimum Sum of Infeasibilities=NO, nag_opt_lp_solve (e04mf) will terminate as soon as it is evident that no feasible point exists for the constraints. The final point will generally not be the point at which the sum of infeasibilities is minimized. If Minimum Sum of Infeasibilities = YESMinimum Sum of Infeasibilities=YES, nag_opt_lp_solve (e04mf) will continue until the sum of infeasibilities is minimized.
Monitoring File  ii
Default = 1=-1
If i0i0 and Print Level5Print Level5, monitoring information produced by nag_opt_lp_solve (e04mf) at every iteration is sent to a file with logical unit number ii. If i < 0i<0 and/or Print Level < 5Print Level<5, no monitoring information is produced.
Optimality Tolerance  rr
Default = ε0.8=ε0.8
If rεrε, rr defines the tolerance used to determine if the bounds and general constraints have the right ‘sign’ for the solution to be judged to be optimal.
If 0r < ε0r<ε, the default value is used.
Print Level  ii
The value of ii controls the amount of printout produced by nag_opt_lp_solve (e04mf), as indicated below. A detailed description of the printed output is given in Section [Printed Output] (summary output at each iteration and the final solution) and Section [Description of Monitoring Information] (monitoring information at each iteration).
The following printout is sent to the current advisory message unit (as defined by nag_file_set_unit_advisory (x04ab)):
ii Output
0000 No output.
0101 The final solution only.
0505 One line of summary output ( < 80<80 characters; see Section [Printed Output]) for each iteration (no printout of the final solution).
1010 The final solution and one line of summary output for each iteration.
The following printout is sent to the logical unit number defined by the optional parameter Monitoring File:
ii Output
< 05<05 No output.
0505 One long line of output ( > 80>80 characters; see Section [Description of Monitoring Information]) for each iteration (no printout of the final solution).
2020 At each iteration, the Lagrange multipliers, the variables xx, the constraint values AxAx and the constraint status (see istate).
3030 At each iteration, the diagonal elements of the upper triangular matrix TT associated with the TQTQ factorization (3) (see Section [Definition of Search Direction]) of the working set.
If Print Level5Print Level5 and the unit number defined by the optional parameter Monitoring File is the same as that defined by nag_file_set_unit_advisory (x04ab), then the summary output is suppressed.
Problem Type  aa
Default = = LP
This option specifies the type of objective function to be minimized during the optimality phase. The following is the optional keyword and the dimensions of the array that must be specified in order to define the objective function:
LP cvec(n)cvecn required.
For problems of type FP, the objective function is omitted and cvec is not referenced. The following keywords are also acceptable. The minimum abbreviation of each keyword is underlined.
aa Option
Linear LP
Feasible FP

Description of Monitoring Information

This section describes the long line of output ( > 80>80 characters) which forms part of the monitoring information produced by nag_opt_lp_solve (e04mf). (See also the description of the optional parameters Monitoring File and Print Level.) You can control the level of printed output.
To aid interpretation of the printed results, the following convention is used for numbering the constraints: indices 11 through nn refer to the bounds on the variables, and indices n + 1n+1 through n + mLn+mL refer to the general constraints. When the status of a constraint changes, the index of the constraint is printed, along with the designation L (lower bound), U (upper bound), E (equality), F (temporarily fixed variable) or A (artificial constraint).
When Print Level5Print Level5 and Monitoring File0Monitoring File0, the following line of output is produced at every iteration on the unit number specified by optional parameter Monitoring File. In all cases, the values of the quantities printed are those in effect on completion of the given iteration.
Itn is the iteration count.
Jdel is the index of the constraint deleted from the working set. If Jdel is zero, no constraint was deleted.
Jadd is the index of the constraint added to the working set. If Jadd is zero, no constraint was added.
Step is the step taken along the computed search direction. If a constraint is added during the current iteration, Step will be the step to the nearest constraint. When the problem is of type LP, the step can be greater than one during the optimality phase.
Ninf is the number of violated constraints (infeasibilities). This will be zero during the optimality phase.
Sinf/Objective is the value of the current objective function. If xx is not feasible, Sinf gives a weighted sum of the magnitudes of constraint violations. If xx is feasible, Objective is the value of the objective function of (1). The output line for the final iteration of the feasibility phase (i.e., the first iteration for which Ninf is zero) will give the value of the true objective at the first feasible point.
During the optimality phase the value of the objective function will be nonincreasing. During the feasibility phase the number of constraint infeasibilities will not increase until either a feasible point is found or the optimality of the multipliers implies that no feasible point exists. Once optimal multipliers are obtained the number of infeasibilities can increase, but the sum of infeasibilities will either remain constant or be reduced until the minimum sum of infeasibilities is found.
Bnd is the number of simple bound constraints in the current working set.
Lin is the number of general linear constraints in the current working set.
Art is the number of artificial constraints in the working set, i.e., the number of columns of ZAZA (see Section [Choosing the Initial Working Set]).
Zr is the number of columns of ZRZR (see Section [Definition of Search Direction]). Zr is the dimension of the subspace in which the objective function is currently being minimized. The value
of Zr is the number of variables minus the number of constraints in the working set; i.e., Zr = n(Bnd + Lin + Art)Zr=n-(Bnd+Lin+Art).
The value of nZnZ, the number of columns of ZZ (see Section [Definition of Search Direction]) can be calculated as nZ = n(Bnd + Lin)nZ=n-(Bnd+Lin). A zero value of nZnZ implies that xx lies at a vertex of the feasible region.
Norm Gz is ZRTgFR ZRT gFR , the Euclidean norm of the reduced gradient with respect to ZRZR. During the optimality phase, this norm will be approximately zero after a unit step.
NOpt is the number of nonoptimal Lagrange multipliers at the current point. NOpt is not printed if the current xx is infeasible or no multipliers have been calculated. At a minimizer, NOpt will be zero.
Min Lm is the value of the Lagrange multiplier associated with the deleted constraint. If Min Lm is negative, a lower bound constraint has been deleted, if Min Lm is positive, an upper bound constraint has been deleted. If no multipliers are calculated during a given iteration Min Lm will be zero.
Cond T is a lower bound on the condition number of the working set.

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