/** Solves an LP in the form of: min(c) s.t. A.x = b G.x < h lb <= x <= ub */
@Override
public int optimize() throws Exception {
log.info("optimize");
LPOptimizationRequest lpRequest = getLPOptimizationRequest();
if (log.isDebugEnabled() && lpRequest.isDumpProblem()) {
log.debug("LP problem: " + lpRequest.toString());
}
// standard form conversion
LPStandardConverter lpConverter =
new LPStandardConverter(); // the slack variables will have default unboundedUBValue
lpConverter.toStandardForm(getC(), getG(), getH(), getA(), getB(), getLb(), getUb());
int nOfSlackVariables = lpConverter.getStandardS();
log.debug("nOfSlackVariables: " + nOfSlackVariables);
DoubleMatrix1D standardC = lpConverter.getStandardC();
DoubleMatrix2D standardA = lpConverter.getStandardA();
DoubleMatrix1D standardB = lpConverter.getStandardB();
DoubleMatrix1D standardLb = lpConverter.getStandardLB();
DoubleMatrix1D standardUb = lpConverter.getStandardUB();
// solve the standard form problem
LPOptimizationRequest standardLPRequest = lpRequest.cloneMe();
standardLPRequest.setC(standardC);
standardLPRequest.setA(standardA);
standardLPRequest.setB(standardB);
standardLPRequest.setLb(
ColtUtils.replaceValues(
standardLb,
lpConverter.getUnboundedLBValue(),
minLBValue)); // substitute not-double numbers
standardLPRequest.setUb(
ColtUtils.replaceValues(
standardUb,
lpConverter.getUnboundedUBValue(),
maxUBValue)); // substitute not-double numbers
if (getInitialPoint() != null) {
standardLPRequest.setInitialPoint(
lpConverter.getStandardComponents(getInitialPoint().toArray()));
}
if (getNotFeasibleInitialPoint() != null) {
standardLPRequest.setNotFeasibleInitialPoint(
lpConverter.getStandardComponents(getNotFeasibleInitialPoint().toArray()));
}
// optimization
LPPrimalDualMethod opt = new LPPrimalDualMethod(minLBValue, maxUBValue);
opt.setLPOptimizationRequest(standardLPRequest);
if (opt.optimizeStandardLP(nOfSlackVariables) == OptimizationResponse.FAILED) {
return OptimizationResponse.FAILED;
}
// back to original form
LPOptimizationResponse lpResponse = opt.getLPOptimizationResponse();
double[] standardSolution = lpResponse.getSolution();
double[] originalSol = lpConverter.postConvert(standardSolution);
lpResponse.setSolution(originalSol);
setLPOptimizationResponse(lpResponse);
return lpResponse.getReturnCode();
}
