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"""
A top-level linear programming interface. Currently this interface only
solves linear programming problems via the Simplex Method.
.. versionadded:: 0.15.0
Functions
---------
.. autosummary::
:toctree: generated/
linprog
linprog_verbose_callback
linprog_terse_callback
"""
from __future__ import division, print_function, absolute_import
import numpy as np
from .optimize import OptimizeResult, _check_unknown_options
__all__ = ['linprog', 'linprog_verbose_callback', 'linprog_terse_callback']
__docformat__ = "restructuredtext en"
def linprog_verbose_callback(xk, **kwargs):
"""
A sample callback function demonstrating the linprog callback interface.
This callback produces detailed output to sys.stdout before each iteration
and after the final iteration of the simplex algorithm.
Parameters
----------
xk : array_like
The current solution vector.
**kwargs : dict
A dictionary containing the following parameters:
tableau : array_like
The current tableau of the simplex algorithm.
Its structure is defined in _solve_simplex.
phase : int
The current Phase of the simplex algorithm (1 or 2)
nit : int
The current iteration number.
pivot : tuple(int, int)
The index of the tableau selected as the next pivot,
or nan if no pivot exists
basis : array(int)
A list of the current basic variables.
Each element contains the name of a basic variable and its value.
complete : bool
True if the simplex algorithm has completed
(and this is the final call to callback), otherwise False.
"""
tableau = kwargs["tableau"]
nit = kwargs["nit"]
pivrow, pivcol = kwargs["pivot"]
phase = kwargs["phase"]
basis = kwargs["basis"]
complete = kwargs["complete"]
saved_printoptions = np.get_printoptions()
np.set_printoptions(linewidth=500,
formatter={'float':lambda x: "{0: 12.4f}".format(x)})
if complete:
print("--------- Iteration Complete - Phase {0:d} -------\n".format(phase))
print("Tableau:")
elif nit == 0:
print("--------- Initial Tableau - Phase {0:d} ----------\n".format(phase))
else:
print("--------- Iteration {0:d} - Phase {1:d} --------\n".format(nit, phase))
print("Tableau:")
if nit >= 0:
print("" + str(tableau) + "\n")
if not complete:
print("Pivot Element: T[{0:.0f}, {1:.0f}]\n".format(pivrow, pivcol))
print("Basic Variables:", basis)
print()
print("Current Solution:")
print("x = ", xk)
print()
print("Current Objective Value:")
print("f = ", -tableau[-1, -1])
print()
np.set_printoptions(**saved_printoptions)
def linprog_terse_callback(xk, **kwargs):
"""
A sample callback function demonstrating the linprog callback interface.
This callback produces brief output to sys.stdout before each iteration
and after the final iteration of the simplex algorithm.
Parameters
----------
xk : array_like
The current solution vector.
**kwargs : dict
A dictionary containing the following parameters:
tableau : array_like
The current tableau of the simplex algorithm.
Its structure is defined in _solve_simplex.
vars : tuple(str, ...)
Column headers for each column in tableau.
"x[i]" for actual variables, "s[i]" for slack surplus variables,
"a[i]" for artificial variables, and "RHS" for the constraint
RHS vector.
phase : int
The current Phase of the simplex algorithm (1 or 2)
nit : int
The current iteration number.
pivot : tuple(int, int)
The index of the tableau selected as the next pivot,
or nan if no pivot exists
basics : list[tuple(int, float)]
A list of the current basic variables.
Each element contains the index of a basic variable and
its value.
complete : bool
True if the simplex algorithm has completed
(and this is the final call to callback), otherwise False.
"""
nit = kwargs["nit"]
if nit == 0:
print("Iter: X:")
print("{0: <5d} ".format(nit), end="")
print(xk)
def _pivot_col(T, tol=1.0E-12, bland=False):
"""
Given a linear programming simplex tableau, determine the column
of the variable to enter the basis.
Parameters
----------
T : 2D ndarray
The simplex tableau.
tol : float
Elements in the objective row larger than -tol will not be considered
for pivoting. Nominally this value is zero, but numerical issues
cause a tolerance about zero to be necessary.
bland : bool
If True, use Bland's rule for selection of the column (select the
first column with a negative coefficient in the objective row,
regardless of magnitude).
Returns
-------
status: bool
True if a suitable pivot column was found, otherwise False.
A return of False indicates that the linear programming simplex
algorithm is complete.
col: int
The index of the column of the pivot element.
If status is False, col will be returned as nan.
"""
ma = np.ma.masked_where(T[-1, :-1] >= -tol, T[-1, :-1], copy=False)
if ma.count() == 0:
return False, np.nan
if bland:
return True, np.where(ma.mask == False)[0][0]
return True, np.ma.where(ma == ma.min())[0][0]
def _pivot_row(T, pivcol, phase, tol=1.0E-12):
"""
Given a linear programming simplex tableau, determine the row for the
pivot operation.
Parameters
----------
T : 2D ndarray
The simplex tableau.
pivcol : int
The index of the pivot column.
phase : int
The phase of the simplex algorithm (1 or 2).
tol : float
Elements in the pivot column smaller than tol will not be considered
for pivoting. Nominally this value is zero, but numerical issues
cause a tolerance about zero to be necessary.
Returns
-------
status: bool
True if a suitable pivot row was found, otherwise False. A return
of False indicates that the linear programming problem is unbounded.
row: int
The index of the row of the pivot element. If status is False, row
will be returned as nan.
"""
if phase == 1:
k = 2
else:
k = 1
ma = np.ma.masked_where(T[:-k, pivcol] <= tol, T[:-k, pivcol], copy=False)
if ma.count() == 0:
return False, np.nan
mb = np.ma.masked_where(T[:-k, pivcol] <= tol, T[:-k, -1], copy=False)
q = mb / ma
return True, np.ma.where(q == q.min())[0][0]
def _solve_simplex(T, n, basis, maxiter=1000, phase=2, callback=None,
tol=1.0E-12, nit0=0, bland=False):
"""
Solve a linear programming problem in "standard maximization form" using
the Simplex Method.
Minimize :math:`f = c^T x`
subject to
.. math::
Ax = b
x_i >= 0
b_j >= 0
Parameters
----------
T : array_like
A 2-D array representing the simplex T corresponding to the
maximization problem. It should have the form:
[[A[0, 0], A[0, 1], ..., A[0, n_total], b[0]],
[A[1, 0], A[1, 1], ..., A[1, n_total], b[1]],
.
.
.
[A[m, 0], A[m, 1], ..., A[m, n_total], b[m]],
[c[0], c[1], ..., c[n_total], 0]]
for a Phase 2 problem, or the form:
[[A[0, 0], A[0, 1], ..., A[0, n_total], b[0]],
[A[1, 0], A[1, 1], ..., A[1, n_total], b[1]],
.
.
.
[A[m, 0], A[m, 1], ..., A[m, n_total], b[m]],
[c[0], c[1], ..., c[n_total], 0],
[c'[0], c'[1], ..., c'[n_total], 0]]
for a Phase 1 problem (a Problem in which a basic feasible solution is
sought prior to maximizing the actual objective. T is modified in
place by _solve_simplex.
n : int
The number of true variables in the problem.
basis : array
An array of the indices of the basic variables, such that basis[i]
contains the column corresponding to the basic variable for row i.
Basis is modified in place by _solve_simplex
maxiter : int
The maximum number of iterations to perform before aborting the
optimization.
phase : int
The phase of the optimization being executed. In phase 1 a basic
feasible solution is sought and the T has an additional row representing
an alternate objective function.
callback : callable, optional
If a callback function is provided, it will be called within each
iteration of the simplex algorithm. The callback must have the
signature `callback(xk, **kwargs)` where xk is the current solution
vector and kwargs is a dictionary containing the following::
"T" : The current Simplex algorithm T
"nit" : The current iteration.
"pivot" : The pivot (row, column) used for the next iteration.
"phase" : Whether the algorithm is in Phase 1 or Phase 2.
"basis" : The indices of the columns of the basic variables.
tol : float
The tolerance which determines when a solution is "close enough" to
zero in Phase 1 to be considered a basic feasible solution or close
enough to positive to to serve as an optimal solution.
nit0 : int
The initial iteration number used to keep an accurate iteration total
in a two-phase problem.
bland : bool
If True, choose pivots using Bland's rule [3]. In problems which
fail to converge due to cycling, using Bland's rule can provide
convergence at the expense of a less optimal path about the simplex.
Returns
-------
res : OptimizeResult
The optimization result represented as a ``OptimizeResult`` object.
Important attributes are: ``x`` the solution array, ``success`` a
Boolean flag indicating if the optimizer exited successfully and
``message`` which describes the cause of the termination. Possible
values for the ``status`` attribute are:
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
See `OptimizeResult` for a description of other attributes.
"""
nit = nit0
complete = False
if phase == 1:
m = T.shape[0]-2
elif phase == 2:
m = T.shape[0]-1
else:
raise ValueError("Argument 'phase' to _solve_simplex must be 1 or 2")
if phase == 2:
# Check if any artificial variables are still in the basis.
# If yes, check if any coefficients from this row and a column
# corresponding to one of the non-artificial variable is non-zero.
# If found, pivot at this term. If not, start phase 2.
# Do this for all artificial variables in the basis.
# Ref: "An Introduction to Linear Programming and Game Theory"
# by Paul R. Thie, Gerard E. Keough, 3rd Ed,
# Chapter 3.7 Redundant Systems (pag 102)
for pivrow in [row for row in range(basis.size)
if basis[row] > T.shape[1] - 2]:
non_zero_row = [col for col in range(T.shape[1] - 1)
if T[pivrow, col] != 0]
if len(non_zero_row) > 0:
pivcol = non_zero_row[0]
# variable represented by pivcol enters
# variable in basis[pivrow] leaves
basis[pivrow] = pivcol
pivval = T[pivrow][pivcol]
T[pivrow, :] = T[pivrow, :] / pivval
for irow in range(T.shape[0]):
if irow != pivrow:
T[irow, :] = T[irow, :] - T[pivrow, :]*T[irow, pivcol]
nit += 1
if len(basis[:m]) == 0:
solution = np.zeros(T.shape[1] - 1, dtype=np.float64)
else:
solution = np.zeros(max(T.shape[1] - 1, max(basis[:m]) + 1),
dtype=np.float64)
while not complete:
# Find the pivot column
pivcol_found, pivcol = _pivot_col(T, tol, bland)
if not pivcol_found:
pivcol = np.nan
pivrow = np.nan
status = 0
complete = True
else:
# Find the pivot row
pivrow_found, pivrow = _pivot_row(T, pivcol, phase, tol)
if not pivrow_found:
status = 3
complete = True
if callback is not None:
solution[:] = 0
solution[basis[:m]] = T[:m, -1]
callback(solution[:n], **{"tableau": T,
"phase":phase,
"nit":nit,
"pivot":(pivrow, pivcol),
"basis":basis,
"complete": complete and phase == 2})
if not complete:
if nit >= maxiter:
# Iteration limit exceeded
status = 1
complete = True
else:
# variable represented by pivcol enters
# variable in basis[pivrow] leaves
basis[pivrow] = pivcol
pivval = T[pivrow][pivcol]
T[pivrow, :] = T[pivrow, :] / pivval
for irow in range(T.shape[0]):
if irow != pivrow:
T[irow, :] = T[irow, :] - T[pivrow, :]*T[irow, pivcol]
nit += 1
return nit, status
def _linprog_simplex(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None,
bounds=None, maxiter=1000, disp=False, callback=None,
tol=1.0E-12, bland=False, **unknown_options):
"""
Solve the following linear programming problem via a two-phase
simplex algorithm.
minimize: c^T * x
subject to: A_ub * x <= b_ub
A_eq * x == b_eq
Parameters
----------
c : array_like
Coefficients of the linear objective function to be minimized.
A_ub : array_like
2-D array which, when matrix-multiplied by x, gives the values of the
upper-bound inequality constraints at x.
b_ub : array_like
1-D array of values representing the upper-bound of each inequality
constraint (row) in A_ub.
A_eq : array_like
2-D array which, when matrix-multiplied by x, gives the values of the
equality constraints at x.
b_eq : array_like
1-D array of values representing the RHS of each equality constraint
(row) in A_eq.
bounds : array_like
The bounds for each independent variable in the solution, which can take
one of three forms::
None : The default bounds, all variables are non-negative.
(lb, ub) : If a 2-element sequence is provided, the same
lower bound (lb) and upper bound (ub) will be applied
to all variables.
[(lb_0, ub_0), (lb_1, ub_1), ...] : If an n x 2 sequence is provided,
each variable x_i will be bounded by lb[i] and ub[i].
Infinite bounds are specified using -np.inf (negative)
or np.inf (positive).
callback : callable
If a callback function is provide, it will be called within each
iteration of the simplex algorithm. The callback must have the
signature `callback(xk, **kwargs)` where xk is the current solution
vector and kwargs is a dictionary containing the following::
"tableau" : The current Simplex algorithm tableau
"nit" : The current iteration.
"pivot" : The pivot (row, column) used for the next iteration.
"phase" : Whether the algorithm is in Phase 1 or Phase 2.
"bv" : A structured array containing a string representation of each
basic variable and its current value.
Options
-------
maxiter : int
The maximum number of iterations to perform.
disp : bool
If True, print exit status message to sys.stdout
tol : float
The tolerance which determines when a solution is "close enough" to zero
in Phase 1 to be considered a basic feasible solution or close enough
to positive to to serve as an optimal solution.
bland : bool
If True, use Bland's anti-cycling rule [3] to choose pivots to
prevent cycling. If False, choose pivots which should lead to a
converged solution more quickly. The latter method is subject to
cycling (non-convergence) in rare instances.
Returns
-------
A scipy.optimize.OptimizeResult consisting of the following fields::
x : ndarray
The independent variable vector which optimizes the linear
programming problem.
fun : float
Value of the objective function.
slack : ndarray
The values of the slack variables. Each slack variable corresponds
to an inequality constraint. If the slack is zero, then the
corresponding constraint is active.
success : bool
Returns True if the algorithm succeeded in finding an optimal
solution.
status : int
An integer representing the exit status of the optimization::
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
nit : int
The number of iterations performed.
message : str
A string descriptor of the exit status of the optimization.
Examples
--------
Consider the following problem:
Minimize: f = -1*x[0] + 4*x[1]
Subject to: -3*x[0] + 1*x[1] <= 6
1*x[0] + 2*x[1] <= 4
x[1] >= -3
where: -inf <= x[0] <= inf
This problem deviates from the standard linear programming problem. In
standard form, linear programming problems assume the variables x are
non-negative. Since the variables don't have standard bounds where
0 <= x <= inf, the bounds of the variables must be explicitly set.
There are two upper-bound constraints, which can be expressed as
dot(A_ub, x) <= b_ub
The input for this problem is as follows:
>>> from scipy.optimize import linprog
>>> c = [-1, 4]
>>> A = [[-3, 1], [1, 2]]
>>> b = [6, 4]
>>> x0_bnds = (None, None)
>>> x1_bnds = (-3, None)
>>> res = linprog(c, A, b, bounds=(x0_bnds, x1_bnds))
>>> print(res)
fun: -22.0
message: 'Optimization terminated successfully.'
nit: 1
slack: array([ 39., 0.])
status: 0
success: True
x: array([ 10., -3.])
References
----------
.. [1] Dantzig, George B., Linear programming and extensions. Rand
Corporation Research Study Princeton Univ. Press, Princeton, NJ, 1963
.. [2] Hillier, S.H. and Lieberman, G.J. (1995), "Introduction to
Mathematical Programming", McGraw-Hill, Chapter 4.
.. [3] Bland, Robert G. New finite pivoting rules for the simplex method.
Mathematics of Operations Research (2), 1977: pp. 103-107.
"""
_check_unknown_options(unknown_options)
status = 0
messages = {0: "Optimization terminated successfully.",
1: "Iteration limit reached.",
2: "Optimization failed. Unable to find a feasible"
" starting point.",
3: "Optimization failed. The problem appears to be unbounded.",
4: "Optimization failed. Singular matrix encountered."}
have_floor_variable = False
cc = np.asarray(c)
# The initial value of the objective function element in the tableau
f0 = 0
# The number of variables as given by c
n = len(c)
# Convert the input arguments to arrays (sized to zero if not provided)
Aeq = np.asarray(A_eq) if A_eq is not None else np.empty([0, len(cc)])
Aub = np.asarray(A_ub) if A_ub is not None else np.empty([0, len(cc)])
beq = np.ravel(np.asarray(b_eq)) if b_eq is not None else np.empty([0])
bub = np.ravel(np.asarray(b_ub)) if b_ub is not None else np.empty([0])
# Analyze the bounds and determine what modifications to be made to
# the constraints in order to accommodate them.
L = np.zeros(n, dtype=np.float64)
U = np.ones(n, dtype=np.float64)*np.inf
if bounds is None or len(bounds) == 0:
pass
elif len(bounds) == 2 and not hasattr(bounds[0], '__len__'):
# All bounds are the same
a = bounds[0] if bounds[0] is not None else -np.inf
b = bounds[1] if bounds[1] is not None else np.inf
L = np.asarray(n*[a], dtype=np.float64)
U = np.asarray(n*[b], dtype=np.float64)
else:
if len(bounds) != n:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"Length of bounds is inconsistent with the length of c")
else:
try:
for i in range(n):
if len(bounds[i]) != 2:
raise IndexError()
L[i] = bounds[i][0] if bounds[i][0] is not None else -np.inf
U[i] = bounds[i][1] if bounds[i][1] is not None else np.inf
except IndexError:
status = -1
message = ("Invalid input for linprog with "
"method = 'simplex'. bounds must be a n x 2 "
"sequence/array where n = len(c).")
if np.any(L == -np.inf):
# If any lower-bound constraint is a free variable
# add the first column variable as the "floor" variable which
# accommodates the most negative variable in the problem.
n = n + 1
L = np.concatenate([np.array([0]), L])
U = np.concatenate([np.array([np.inf]), U])
cc = np.concatenate([np.array([0]), cc])
Aeq = np.hstack([np.zeros([Aeq.shape[0], 1]), Aeq])
Aub = np.hstack([np.zeros([Aub.shape[0], 1]), Aub])
have_floor_variable = True
# Now before we deal with any variables with lower bounds < 0,
# deal with finite bounds which can be simply added as new constraints.
# Also validate bounds inputs here.
for i in range(n):
if(L[i] > U[i]):
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"Lower bound %d is greater than upper bound %d" % (i, i))
if np.isinf(L[i]) and L[i] > 0:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"Lower bound may not be +infinity")
if np.isinf(U[i]) and U[i] < 0:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"Upper bound may not be -infinity")
if np.isfinite(L[i]) and L[i] > 0:
# Add a new lower-bound (negative upper-bound) constraint
Aub = np.vstack([Aub, np.zeros(n)])
Aub[-1, i] = -1
bub = np.concatenate([bub, np.array([-L[i]])])
L[i] = 0
if np.isfinite(U[i]):
# Add a new upper-bound constraint
Aub = np.vstack([Aub, np.zeros(n)])
Aub[-1, i] = 1
bub = np.concatenate([bub, np.array([U[i]])])
U[i] = np.inf
# Now find negative lower bounds (finite or infinite) which require a
# change of variables or free variables and handle them appropriately
for i in range(0, n):
if L[i] < 0:
if np.isfinite(L[i]) and L[i] < 0:
# Add a change of variables for x[i]
# For each row in the constraint matrices, we take the
# coefficient from column i in A,
# and subtract the product of that and L[i] to the RHS b
beq = beq - Aeq[:, i] * L[i]
bub = bub - Aub[:, i] * L[i]
# We now have a nonzero initial value for the objective
# function as well.
f0 = f0 - cc[i] * L[i]
else:
# This is an unrestricted variable, let x[i] = u[i] - v[0]
# where v is the first column in all matrices.
Aeq[:, 0] = Aeq[:, 0] - Aeq[:, i]
Aub[:, 0] = Aub[:, 0] - Aub[:, i]
cc[0] = cc[0] - cc[i]
if np.isinf(U[i]):
if U[i] < 0:
status = -1
message = ("Invalid input for linprog with "
"method = 'simplex'. Upper bound may not be -inf.")
# The number of upper bound constraints (rows in A_ub and elements in b_ub)
mub = len(bub)
# The number of equality constraints (rows in A_eq and elements in b_eq)
meq = len(beq)
# The total number of constraints
m = mub+meq
# The number of slack variables (one for each of the upper-bound constraints)
n_slack = mub
# The number of artificial variables (one for each lower-bound and equality
# constraint)
n_artificial = meq + np.count_nonzero(bub < 0)
try:
Aub_rows, Aub_cols = Aub.shape
except ValueError:
raise ValueError("Invalid input. A_ub must be two-dimensional")
try:
Aeq_rows, Aeq_cols = Aeq.shape
except ValueError:
raise ValueError("Invalid input. A_eq must be two-dimensional")
if Aeq_rows != meq:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"The number of rows in A_eq must be equal "
"to the number of values in b_eq")
if Aub_rows != mub:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"The number of rows in A_ub must be equal "
"to the number of values in b_ub")
if Aeq_cols > 0 and Aeq_cols != n:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"Number of columns in A_eq must be equal "
"to the size of c")
if Aub_cols > 0 and Aub_cols != n:
status = -1
message = ("Invalid input for linprog with method = 'simplex'. "
"Number of columns in A_ub must be equal to the size of c")
if status != 0:
# Invalid inputs provided
raise ValueError(message)
# Create the tableau
T = np.zeros([m+2, n+n_slack+n_artificial+1])
# Insert objective into tableau
T[-2, :n] = cc
T[-2, -1] = f0
b = T[:-2, -1]
if meq > 0:
# Add Aeq to the tableau
T[:meq, :n] = Aeq
# Add beq to the tableau
b[:meq] = beq
if mub > 0:
# Add Aub to the tableau
T[meq:meq+mub, :n] = Aub
# At bub to the tableau
b[meq:meq+mub] = bub
# Add the slack variables to the tableau
np.fill_diagonal(T[meq:m, n:n+n_slack], 1)
# Further set up the tableau.
# If a row corresponds to an equality constraint or a negative b (a lower
# bound constraint), then an artificial variable is added for that row.
# Also, if b is negative, first flip the signs in that constraint.
slcount = 0
avcount = 0
basis = np.zeros(m, dtype=int)
r_artificial = np.zeros(n_artificial, dtype=int)
for i in range(m):
if i < meq or b[i] < 0:
# basic variable i is in column n+n_slack+avcount
basis[i] = n+n_slack+avcount
r_artificial[avcount] = i
avcount += 1
if b[i] < 0:
b[i] *= -1
T[i, :-1] *= -1
T[i, basis[i]] = 1
T[-1, basis[i]] = 1
else:
# basic variable i is in column n+slcount
basis[i] = n+slcount
slcount += 1
# Make the artificial variables basic feasible variables by subtracting
# each row with an artificial variable from the Phase 1 objective
for r in r_artificial:
T[-1, :] = T[-1, :] - T[r, :]
nit1, status = _solve_simplex(T, n, basis, phase=1, callback=callback,
maxiter=maxiter, tol=tol, bland=bland)
# if pseudo objective is zero, remove the last row from the tableau and
# proceed to phase 2
if abs(T[-1, -1]) < tol:
# Remove the pseudo-objective row from the tableau
T = T[:-1, :]
# Remove the artificial variable columns from the tableau
T = np.delete(T, np.s_[n+n_slack:n+n_slack+n_artificial], 1)
else:
# Failure to find a feasible starting point
status = 2
if status != 0:
message = messages[status]
if disp:
print(message)
return OptimizeResult(x=np.nan, fun=-T[-1, -1], nit=nit1, status=status,
message=message, success=False)
# Phase 2
nit2, status = _solve_simplex(T, n, basis, maxiter=maxiter-nit1, phase=2,
callback=callback, tol=tol, nit0=nit1,
bland=bland)
solution = np.zeros(n+n_slack+n_artificial)
solution[basis[:m]] = T[:m, -1]
x = solution[:n]
slack = solution[n:n+n_slack]
# For those variables with finite negative lower bounds,
# reverse the change of variables
masked_L = np.ma.array(L, mask=np.isinf(L), fill_value=0.0).filled()
x = x + masked_L
# For those variables with infinite negative lower bounds,
# take x[i] as the difference between x[i] and the floor variable.
if have_floor_variable:
for i in range(1, n):
if np.isinf(L[i]):
x[i] -= x[0]
x = x[1:]
# Optimization complete at this point
obj = -T[-1, -1]
if status in (0, 1):
if disp:
print(messages[status])
print(" Current function value: {0: <12.6f}".format(obj))
print(" Iterations: {0:d}".format(nit2))
else:
if disp:
print(messages[status])
print(" Iterations: {0:d}".format(nit2))
return OptimizeResult(x=x, fun=obj, nit=int(nit2), status=status, slack=slack,
message=messages[status], success=(status == 0))
def linprog(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None,
bounds=None, method='simplex', callback=None,
options=None):
"""
Minimize a linear objective function subject to linear
equality and inequality constraints.
Linear Programming is intended to solve the following problem form:
Minimize: c^T * x
Subject to: A_ub * x <= b_ub
A_eq * x == b_eq
Parameters
----------
c : array_like
Coefficients of the linear objective function to be minimized.
A_ub : array_like, optional
2-D array which, when matrix-multiplied by x, gives the values of the
upper-bound inequality constraints at x.
b_ub : array_like, optional
1-D array of values representing the upper-bound of each inequality
constraint (row) in A_ub.
A_eq : array_like, optional
2-D array which, when matrix-multiplied by x, gives the values of the
equality constraints at x.
b_eq : array_like, optional
1-D array of values representing the RHS of each equality constraint
(row) in A_eq.
bounds : sequence, optional
``(min, max)`` pairs for each element in ``x``, defining
the bounds on that parameter. Use None for one of ``min`` or
``max`` when there is no bound in that direction. By default
bounds are ``(0, None)`` (non-negative)
If a sequence containing a single tuple is provided, then ``min`` and
``max`` will be applied to all variables in the problem.
method : str, optional
Type of solver. At this time only 'simplex' is supported
:ref:`(see here) <optimize.linprog-simplex>`.
callback : callable, optional
If a callback function is provide, it will be called within each
iteration of the simplex algorithm. The callback must have the signature
`callback(xk, **kwargs)` where xk is the current solution vector
and kwargs is a dictionary containing the following::
"tableau" : The current Simplex algorithm tableau
"nit" : The current iteration.
"pivot" : The pivot (row, column) used for the next iteration.
"phase" : Whether the algorithm is in Phase 1 or Phase 2.
"basis" : The indices of the columns of the basic variables.
options : dict, optional
A dictionary of solver options. All methods accept the following
generic options:
maxiter : int
Maximum number of iterations to perform.
disp : bool
Set to True to print convergence messages.
For method-specific options, see `show_options('linprog')`.
Returns
-------
A `scipy.optimize.OptimizeResult` consisting of the following fields:
x : ndarray
The independent variable vector which optimizes the linear
programming problem.
fun : float
Value of the objective function.
slack : ndarray
The values of the slack variables. Each slack variable corresponds
to an inequality constraint. If the slack is zero, then the
corresponding constraint is active.
success : bool
Returns True if the algorithm succeeded in finding an optimal
solution.
status : int
An integer representing the exit status of the optimization::
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
nit : int
The number of iterations performed.
message : str
A string descriptor of the exit status of the optimization.
See Also
--------
show_options : Additional options accepted by the solvers
Notes
-----
This section describes the available solvers that can be selected by the
'method' parameter. The default method is :ref:`Simplex <optimize.linprog-simplex>`.
Method *Simplex* uses the Simplex algorithm (as it relates to Linear
Programming, NOT the Nelder-Mead Simplex) [1]_, [2]_. This algorithm
should be reasonably reliable and fast.
.. versionadded:: 0.15.0
References
----------
.. [1] Dantzig, George B., Linear programming and extensions. Rand
Corporation Research Study Princeton Univ. Press, Princeton, NJ, 1963
.. [2] Hillier, S.H. and Lieberman, G.J. (1995), "Introduction to
Mathematical Programming", McGraw-Hill, Chapter 4.
.. [3] Bland, Robert G. New finite pivoting rules for the simplex method.
Mathematics of Operations Research (2), 1977: pp. 103-107.
Examples
--------
Consider the following problem:
Minimize: f = -1*x[0] + 4*x[1]
Subject to: -3*x[0] + 1*x[1] <= 6
1*x[0] + 2*x[1] <= 4
x[1] >= -3
where: -inf <= x[0] <= inf
This problem deviates from the standard linear programming problem.
In standard form, linear programming problems assume the variables x are
non-negative. Since the variables don't have standard bounds where
0 <= x <= inf, the bounds of the variables must be explicitly set.
There are two upper-bound constraints, which can be expressed as
dot(A_ub, x) <= b_ub
The input for this problem is as follows:
>>> c = [-1, 4]
>>> A = [[-3, 1], [1, 2]]
>>> b = [6, 4]
>>> x0_bounds = (None, None)
>>> x1_bounds = (-3, None)
>>> from scipy.optimize import linprog
>>> res = linprog(c, A_ub=A, b_ub=b, bounds=(x0_bounds, x1_bounds),
... options={"disp": True})
Optimization terminated successfully.
Current function value: -22.000000
Iterations: 1
>>> print(res)
fun: -22.0
message: 'Optimization terminated successfully.'
nit: 1
slack: array([ 39., 0.])
status: 0
success: True
x: array([ 10., -3.])
Note the actual objective value is 11.428571. In this case we minimized
the negative of the objective function.
"""
meth = method.lower()
if options is None:
options = {}
if meth == 'simplex':
return _linprog_simplex(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, callback=callback, **options)
else:
raise ValueError('Unknown solver %s' % method)
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