doc/glpk02.tex
author Alpar Juttner <alpar@cs.elte.hu>
Mon, 06 Dec 2010 13:09:21 +0100
changeset 1 c445c931472f
permissions -rw-r--r--
Import glpk-4.45

- Generated files and doc/notes are removed
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%* glpk02.tex *%
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\chapter{Basic API Routines}
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This chapter describes GLPK API routines intended for using in
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application programs.
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\subsubsection*{Library header}
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All GLPK API data types and routines are defined in the header file
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\verb|glpk.h|. It should be included in all source files which use
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GLPK API, either directly or indirectly through some other header file
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as follows:
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\begin{verbatim}
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   #include <glpk.h>
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\end{verbatim}
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\subsubsection*{Error handling}
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If some GLPK API routine detects erroneous or incorrect data passed by
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the application program, it writes appropriate diagnostic messages to
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the terminal and then abnormally terminates the application program.
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In most practical cases this allows to simplify programming by avoiding
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numerous checks of return codes. Thus, in order to prevent crashing the
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application program should check all data, which are suspected to be
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incorrect, before calling GLPK API routines.
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Should note that this kind of error handling is used only in cases of
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incorrect data passed by the application program. If, for example, the
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application program calls some GLPK API routine to read data from an
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input file and these data are incorrect, the GLPK API routine reports
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about error in the usual way by means of the return code.
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\subsubsection*{Thread safety}
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Currently GLPK API routines are non-reentrant and therefore cannot be
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used in multi-threaded programs.
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\subsubsection*{Array indexing}
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Normally all GLPK API routines start array indexing from 1, not from 0
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(except the specially stipulated cases). This means, for example, that
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if some vector $x$ of the length $n$ is passed as an array to some GLPK
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API routine, the latter expects vector components to be placed in
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locations \verb|x[1]|, \verb|x[2]|, \dots, \verb|x[n]|, and the location
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\verb|x[0]| normally is not used.
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In order to avoid indexing errors it is most convenient and most
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reliable to declare the array \verb|x| as follows:
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\begin{verbatim}
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   double x[1+n];
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\end{verbatim}
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\noindent
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or to allocate it as follows:
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\begin{verbatim}
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   double *x;
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   . . .
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   x = calloc(1+n, sizeof(double));
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\end{verbatim}
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\noindent
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In both cases one extra location \verb|x[0]| is reserved that allows
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passing the array to GLPK routines in a usual way.
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\section{Problem object}
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All GLPK API routines deal with so called {\it problem object}, which
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is a program object of type \verb|glp_prob| and intended to represent
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a particular LP or MIP instance.
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The type \verb|glp_prob| is a data structure declared in the header
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file \verb|glpk.h| as follows:
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\begin{verbatim}
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   typedef struct { ... } glp_prob;
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\end{verbatim}
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Problem objects (i.e. program objects of the \verb|glp_prob| type) are
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allocated and managed internally by the GLPK API routines. The
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application program should never use any members of the \verb|glp_prob|
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structure directly and should deal only with pointers to these objects
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(that is, \verb|glp_prob *| values).
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\pagebreak
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The problem object consists of five segments, which are:
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$\bullet$ problem segment,
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$\bullet$ basis segment,
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$\bullet$ interior point segment,
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$\bullet$ MIP segment, and
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$\bullet$ control parameters and statistics segment.
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\subsubsection*{Problem segment}
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The {\it problem segment} contains original LP/MIP data, which
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corresponds to the problem formulation (1.1)---(1.3) (see Section
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\ref{seclp}, page \pageref{seclp}). It includes the following
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components:
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$\bullet$ rows (auxiliary variables),
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$\bullet$ columns (structural variables),
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$\bullet$ objective function, and
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$\bullet$ constraint matrix.
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Rows and columns have the same set of the following attributes:
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$\bullet$ ordinal number,
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$\bullet$ symbolic name (1 up to 255 arbitrary graphic characters),
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$\bullet$ type (free, lower bound, upper bound, double bound, fixed),
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$\bullet$ numerical values of lower and upper bounds,
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$\bullet$ scale factor.
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{\it Ordinal numbers} are intended for referencing rows and columns.
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Row ordinal numbers are integers $1, 2, \dots, m$, and column ordinal
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numbers are integers $1, 2, \dots, n$, where $m$ and $n$ are,
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respectively, the current number of rows and columns in the problem
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object.
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{\it Symbolic names} are intended for informational purposes. They also
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can be used for referencing rows and columns.
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{\it Types and bounds} of rows (auxiliary variables) and columns
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(structural variables) are explained above (see Section \ref{seclp},
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page \pageref{seclp}).
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{\it Scale factors} are used internally for scaling rows and columns of
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the constraint matrix.
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Information about the {\it objective function} includes numerical
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values of objective coefficients and a flag, which defines the
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optimization direction (i.e. minimization or maximization).
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The {\it constraint matrix} is a $m \times n$ rectangular matrix built
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of constraint coefficients $a_{ij}$, which defines the system of linear
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constraints (1.2) (see Section \ref{seclp}, page \pageref{seclp}). This
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matrix is stored in the problem object in both row-wise and column-wise
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sparse formats.
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Once the problem object has been created, the application program can
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access and modify any components of the problem segment in arbitrary
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order.
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\subsubsection*{Basis segment}
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The {\it basis segment} of the problem object keeps information related
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to the current basic solution. It includes:
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$\bullet$ row and column statuses,
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$\bullet$ basic solution statuses,
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$\bullet$ factorization of the current basis matrix, and
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$\bullet$ basic solution components.
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The {\it row and column statuses} define which rows and columns are
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basic and which are non-basic. These statuses may be assigned either by
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the application program of by some API routines. Note that these
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statuses are always defined independently on whether the corresponding
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basis is valid or not.
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The {\it basic solution statuses} include the {\it primal status} and
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the {\it dual status}, which are set by the simplex-based solver once
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the problem has been solved. The primal status shows whether a primal
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basic solution is feasible, infeasible, or undefined. The dual status
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shows the same for a dual basic solution.
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The {\it factorization of the basis matrix} is some factorized form
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(like LU-factorization) of the current basis matrix (defined by the
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current row and column statuses). The factorization is used by the
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simplex-based solver and kept when the solver terminates the search.
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This feature allows efficiently reoptimizing the problem after some
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modifications (for example, after changing some bounds or objective
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coefficients). It also allows performing the post-optimal analysis (for
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example, computing components of the simplex table, etc.).
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The {\it basic solution components} include primal and dual values of
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all auxiliary and structural variables for the most recently obtained
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basic solution.
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\subsubsection*{Interior point segment}
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The {\it interior point segment} is automatically allocated after the
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problem has been solved using the interior point solver. It contains
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interior point solution components, which include the solution status,
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and primal and dual values of all auxiliary and structural variables.
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\subsubsection*{MIP segment}
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The {\it MIP segment} is used only for MIP problems. This segment
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includes:
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$\bullet$ column kinds,
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$\bullet$ MIP solution status, and
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$\bullet$ MIP solution components.
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The {\it column kinds} define which columns (i.e. structural variables)
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are integer and which are continuous.
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The {\it MIP solution status} is set by the MIP solver and shows whether
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a MIP solution is integer optimal, integer feasible (non-optimal), or
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undefined.
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The {\it MIP solution components} are computed by the MIP solver and
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include primal values of all auxiliary and structural variables for the
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most recently obtained MIP solution.
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Note that in case of MIP problem the basis segment corresponds to
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the optimal solution of LP relaxation, which is also available to the
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application program.
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Currently the search tree is not kept in the MIP segment. Therefore if
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the search has been terminated, it cannot be continued.
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\newpage
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\section{Problem creating and modifying routines}
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\subsection{glp\_create\_prob---create problem object}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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glp_prob *glp_create_prob(void);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_create_prob| creates a new problem object, which
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initially is ``empty'', i.e. has no rows and columns.
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\subsubsection*{Returns}
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The routine returns a pointer to the created object, which should be
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used in any subsequent operations on this object.
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\subsection{glp\_set\_prob\_name---assign (change) problem name}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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void glp_set_prob_name(glp_prob *lp, const char *name);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_set_prob_name| assigns a given symbolic
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\verb|name| (1 up to 255 characters) to the specified problem object.
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If the parameter \verb|name| is \verb|NULL| or empty string, the routine
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erases an existing symbolic name of the problem object.
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\subsection{glp\_set\_obj\_name---assign (change) objective function
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name}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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void glp_set_obj_name(glp_prob *lp, const char *name);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_set_obj_name| assigns a given symbolic
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\verb|name| (1 up to 255 characters) to the objective function of the
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specified problem object.
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If the parameter \verb|name| is \verb|NULL| or empty string, the routine
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erases an existing symbolic name of the objective function.
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\subsection{glp\_set\_obj\_dir---set (change) optimization direction\\
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flag}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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void glp_set_obj_dir(glp_prob *lp, int dir);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_set_obj_dir| sets (changes) the optimization
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direction flag (i.e. ``sense'' of the objective function) as specified
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by the parameter \verb|dir|:
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\begin{tabular}{@{}ll}
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\verb|GLP_MIN| & minimization; \\
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\verb|GLP_MAX| & maximization. \\
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\end{tabular}
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\noindent
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(Note that by default the problem is minimization.)
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\subsection{glp\_add\_rows---add new rows to problem object}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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int glp_add_rows(glp_prob *lp, int nrs);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_add_rows| adds \verb|nrs| rows (constraints) to
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the specified problem object. New rows are always added to the end of
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the row list, so the ordinal numbers of existing rows are not changed.
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Being added each new row is initially free (unbounded) and has empty
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list of the constraint coefficients.
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\subsubsection*{Returns}
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The routine \verb|glp_add_rows| returns the ordinal number of the first
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new row added to the problem object.
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\newpage
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\subsection{glp\_add\_cols---add new columns to problem object}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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int glp_add_cols(glp_prob *lp, int ncs);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_add_cols| adds \verb|ncs| columns (structural
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variables) to the specified problem object. New columns are always added
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to the end of the column list, so the ordinal numbers of existing
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columns are not changed.
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Being added each new column is initially fixed at zero and has empty
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list of the constraint coefficients.
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\subsubsection*{Returns}
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The routine \verb|glp_add_cols| returns the ordinal number of the first
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new column added to the problem object.
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\subsection{glp\_set\_row\_name---assign (change) row name}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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void glp_set_row_name(glp_prob *lp, int i, const char *name);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_set_row_name| assigns a given symbolic
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\verb|name| (1 up to 255 characters) to \verb|i|-th row (auxiliary
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variable) of the specified problem object.
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If the parameter \verb|name| is \verb|NULL| or empty string, the routine
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erases an existing name of $i$-th row.
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\subsection{glp\_set\_col\_name---assign (change) column name}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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void glp_set_col_name(glp_prob *lp, int j, const char *name);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_set_col_name| assigns a given symbolic
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\verb|name| (1 up to 255 characters) to \verb|j|-th column (structural
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variable) of the specified problem object.
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If the parameter \verb|name| is \verb|NULL| or empty string, the routine
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erases an existing name of $j$-th column.
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\subsection{glp\_set\_row\_bnds---set (change) row bounds}
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\subsubsection*{Synopsis}
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\begin{verbatim}
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void glp_set_row_bnds(glp_prob *lp, int i, int type,
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      double lb, double ub);
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\end{verbatim}
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\subsubsection*{Description}
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The routine \verb|glp_set_row_bnds| sets (changes) the type and bounds
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of \verb|i|-th row (auxiliary variable) of the specified problem object.
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The parameters \verb|type|, \verb|lb|, and \verb|ub| specify the type,
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lower bound, and upper bound, respectively, as follows:
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\begin{center}
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\begin{tabular}{cr@{}c@{}ll}
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Type & \multicolumn{3}{c}{Bounds} & Comment \\
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\hline
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\verb|GLP_FR| & $-\infty <$ &$\ x\ $& $< +\infty$
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   & Free (unbounded) variable \\
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\verb|GLP_LO| & $lb \leq$ &$\ x\ $& $< +\infty$
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   & Variable with lower bound \\
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\verb|GLP_UP| & $-\infty <$ &$\ x\ $& $\leq ub$
alpar@1
   421
   & Variable with upper bound \\
alpar@1
   422
\verb|GLP_DB| & $lb \leq$ &$\ x\ $& $\leq ub$
alpar@1
   423
   & Double-bounded variable \\
alpar@1
   424
\verb|GLP_FX| & $lb =$ &$\ x\ $& $= ub$
alpar@1
   425
   & Fixed variable \\
alpar@1
   426
\end{tabular}
alpar@1
   427
\end{center}
alpar@1
   428
alpar@1
   429
\noindent
alpar@1
   430
where $x$ is the auxiliary variable associated with $i$-th row.
alpar@1
   431
alpar@1
   432
If the row has no lower bound, the parameter \verb|lb| is ignored. If
alpar@1
   433
the row has no upper bound, the parameter \verb|ub| is ignored. If the
alpar@1
   434
row is an equality constraint (i.e. the corresponding auxiliary variable
alpar@1
   435
is of fixed type), only the parameter \verb|lb| is used while the
alpar@1
   436
parameter \verb|ub| is ignored.
alpar@1
   437
alpar@1
   438
Being added to the problem object each row is initially free, i.e. its
alpar@1
   439
type is \verb|GLP_FR|.
alpar@1
   440
alpar@1
   441
\newpage
alpar@1
   442
alpar@1
   443
\subsection{glp\_set\_col\_bnds---set (change) column bounds}
alpar@1
   444
alpar@1
   445
\subsubsection*{Synopsis}
alpar@1
   446
alpar@1
   447
\begin{verbatim}
alpar@1
   448
void glp_set_col_bnds(glp_prob *lp, int j, int type,
alpar@1
   449
      double lb, double ub);
alpar@1
   450
\end{verbatim}
alpar@1
   451
alpar@1
   452
\subsubsection*{Description}
alpar@1
   453
alpar@1
   454
The routine \verb|glp_set_col_bnds| sets (changes) the type and bounds
alpar@1
   455
of \verb|j|-th column (structural variable) of the specified problem
alpar@1
   456
object.
alpar@1
   457
alpar@1
   458
The parameters \verb|type|, \verb|lb|, and \verb|ub| specify the type,
alpar@1
   459
lower bound, and upper bound, respectively, as follows:
alpar@1
   460
alpar@1
   461
\begin{center}
alpar@1
   462
\begin{tabular}{cr@{}c@{}ll}
alpar@1
   463
Type & \multicolumn{3}{c}{Bounds} & Comment \\
alpar@1
   464
\hline
alpar@1
   465
\verb|GLP_FR| & $-\infty <$ &$\ x\ $& $< +\infty$
alpar@1
   466
   & Free (unbounded) variable \\
alpar@1
   467
\verb|GLP_LO| & $lb \leq$ &$\ x\ $& $< +\infty$
alpar@1
   468
   & Variable with lower bound \\
alpar@1
   469
\verb|GLP_UP| & $-\infty <$ &$\ x\ $& $\leq ub$
alpar@1
   470
   & Variable with upper bound \\
alpar@1
   471
\verb|GLP_DB| & $lb \leq$ &$\ x\ $& $\leq ub$
alpar@1
   472
   & Double-bounded variable \\
alpar@1
   473
\verb|GLP_FX| & $lb =$ &$\ x\ $& $= ub$
alpar@1
   474
   & Fixed variable \\
alpar@1
   475
\end{tabular}
alpar@1
   476
\end{center}
alpar@1
   477
alpar@1
   478
\noindent
alpar@1
   479
where $x$ is the structural variable associated with $j$-th column.
alpar@1
   480
alpar@1
   481
If the column has no lower bound, the parameter \verb|lb| is ignored.
alpar@1
   482
If the column has no upper bound, the parameter \verb|ub| is ignored.
alpar@1
   483
If the column is of fixed type, only the parameter \verb|lb| is used
alpar@1
   484
while the parameter \verb|ub| is ignored.
alpar@1
   485
alpar@1
   486
Being added to the problem object each column is initially fixed at
alpar@1
   487
zero, i.e. its type is \verb|GLP_FX| and both bounds are 0.
alpar@1
   488
alpar@1
   489
\subsection{glp\_set\_obj\_coef---set (change) objective coefficient
alpar@1
   490
or constant term}
alpar@1
   491
alpar@1
   492
\subsubsection*{Synopsis}
alpar@1
   493
alpar@1
   494
\begin{verbatim}
alpar@1
   495
void glp_set_obj_coef(glp_prob *lp, int j, double coef);
alpar@1
   496
\end{verbatim}
alpar@1
   497
alpar@1
   498
\subsubsection*{Description}
alpar@1
   499
alpar@1
   500
The routine \verb|glp_set_obj_coef| sets (changes) the objective
alpar@1
   501
coefficient at \verb|j|-th column (structural variable). A new value of
alpar@1
   502
the objective coefficient is specified by the parameter \verb|coef|.
alpar@1
   503
alpar@1
   504
If the parameter \verb|j| is 0, the routine sets (changes) the constant
alpar@1
   505
term (``shift'') of the objective function.
alpar@1
   506
alpar@1
   507
\subsection{glp\_set\_mat\_row---set (replace) row of the constraint
alpar@1
   508
matrix}
alpar@1
   509
alpar@1
   510
\subsubsection*{Synopsis}
alpar@1
   511
alpar@1
   512
\begin{verbatim}
alpar@1
   513
void glp_set_mat_row(glp_prob *lp, int i, int len,
alpar@1
   514
      const int ind[], const double val[]);
alpar@1
   515
\end{verbatim}
alpar@1
   516
alpar@1
   517
\subsubsection*{Description}
alpar@1
   518
alpar@1
   519
The routine \verb|glp_set_mat_row| stores (replaces) the contents of
alpar@1
   520
\verb|i|-th row of the constraint matrix of the specified problem
alpar@1
   521
object.
alpar@1
   522
alpar@1
   523
Column indices and numerical values of new row elements must be placed
alpar@1
   524
in locations \verb|ind[1]|, \dots, \verb|ind[len]| and \verb|val[1]|,
alpar@1
   525
\dots, \verb|val[len]|, respectively, where $0 \leq$ \verb|len| $\leq n$
alpar@1
   526
is the new length of $i$-th row, $n$ is the current number of columns in
alpar@1
   527
the problem object. Elements with identical column indices are not
alpar@1
   528
allowed. Zero elements are allowed, but they are not stored in the
alpar@1
   529
constraint matrix.
alpar@1
   530
alpar@1
   531
If the parameter \verb|len| is 0, the parameters \verb|ind| and/or
alpar@1
   532
\verb|val| can be specified as \verb|NULL|.
alpar@1
   533
alpar@1
   534
\subsection{glp\_set\_mat\_col---set (replace) column of the
alpar@1
   535
constr\-aint matrix}
alpar@1
   536
alpar@1
   537
\subsubsection*{Synopsis}
alpar@1
   538
alpar@1
   539
\begin{verbatim}
alpar@1
   540
void glp_set_mat_col(glp_prob *lp, int j, int len,
alpar@1
   541
      const int ind[], const double val[]);
alpar@1
   542
\end{verbatim}
alpar@1
   543
alpar@1
   544
\subsubsection*{Description}
alpar@1
   545
alpar@1
   546
The routine \verb|glp_set_mat_col| stores (replaces) the contents of
alpar@1
   547
\verb|j|-th column of the constraint matrix of the specified problem
alpar@1
   548
object.
alpar@1
   549
alpar@1
   550
Row indices and numerical values of new column elements must be placed
alpar@1
   551
in locations \verb|ind[1]|, \dots, \verb|ind[len]| and \verb|val[1]|,
alpar@1
   552
\dots, \verb|val[len]|, respectively, where $0 \leq$ \verb|len| $\leq m$
alpar@1
   553
is the new length of $j$-th column, $m$ is the current number of rows in
alpar@1
   554
the problem object. Elements with identical row indices are not allowed.
alpar@1
   555
Zero elements are allowed, but they are not stored in the constraint
alpar@1
   556
matrix.
alpar@1
   557
alpar@1
   558
If the parameter \verb|len| is 0, the parameters \verb|ind| and/or
alpar@1
   559
\verb|val| can be specified as \verb|NULL|.
alpar@1
   560
alpar@1
   561
\subsection{glp\_load\_matrix---load (replace) the whole constraint
alpar@1
   562
matrix}
alpar@1
   563
alpar@1
   564
\subsubsection*{Synopsis}
alpar@1
   565
alpar@1
   566
\begin{verbatim}
alpar@1
   567
void glp_load_matrix(glp_prob *lp, int ne, const int ia[],
alpar@1
   568
      const int ja[], const double ar[]);
alpar@1
   569
\end{verbatim}
alpar@1
   570
alpar@1
   571
\subsubsection*{Description}
alpar@1
   572
alpar@1
   573
The routine \verb|glp_load_matrix| loads the constraint matrix passed
alpar@1
   574
in  the arrays \verb|ia|, \verb|ja|, and \verb|ar| into the specified
alpar@1
   575
problem object. Before loading the current contents of the constraint
alpar@1
   576
matrix is destroyed.
alpar@1
   577
alpar@1
   578
Constraint coefficients (elements of the constraint matrix) must be
alpar@1
   579
specified as triplets (\verb|ia[k]|, \verb|ja[k]|, \verb|ar[k]|) for
alpar@1
   580
$k=1,\dots,ne$, where \verb|ia[k]| is the row index, \verb|ja[k]| is
alpar@1
   581
the column index, and \verb|ar[k]| is a numeric value of corresponding
alpar@1
   582
constraint coefficient. The parameter \verb|ne| specifies the total
alpar@1
   583
number of (non-zero) elements in the matrix to be loaded. Coefficients
alpar@1
   584
with identical indices are not allowed. Zero coefficients are allowed,
alpar@1
   585
however, they are not stored in the constraint matrix.
alpar@1
   586
alpar@1
   587
If the parameter \verb|ne| is 0, the parameters \verb|ia|, \verb|ja|,
alpar@1
   588
and/or \verb|ar| can be specified as \verb|NULL|.
alpar@1
   589
alpar@1
   590
\subsection{glp\_check\_dup---check for duplicate elements in sparse
alpar@1
   591
matrix}
alpar@1
   592
alpar@1
   593
\subsubsection*{Synopsis}
alpar@1
   594
alpar@1
   595
\begin{verbatim}
alpar@1
   596
int glp_check_dup(int m, int n, int ne, const int ia[],
alpar@1
   597
   const int ja[]);
alpar@1
   598
\end{verbatim}
alpar@1
   599
alpar@1
   600
\subsubsection*{Description}
alpar@1
   601
alpar@1
   602
The routine \verb|glp_check_dup checks| for duplicate elements (that
alpar@1
   603
is, elements with identical indices) in a sparse matrix specified in
alpar@1
   604
the coordinate format.
alpar@1
   605
alpar@1
   606
The parameters $m$ and $n$ specifies, respectively, the number of rows
alpar@1
   607
and columns in the matrix, $m\geq 0$, $n\geq 0$.
alpar@1
   608
alpar@1
   609
The parameter {\it ne} specifies the number of (structurally) non-zero
alpar@1
   610
elements in the matrix, {\it ne} $\geq 0$.
alpar@1
   611
alpar@1
   612
Elements of the matrix are specified as doublets $(ia[k],ja[k])$ for
alpar@1
   613
$k=1,\dots,ne$, where $ia[k]$ is a row index, $ja[k]$ is a column index.
alpar@1
   614
alpar@1
   615
The routine \verb|glp_check_dup| can be used prior to a call to the
alpar@1
   616
routine \verb|glp_load_matrix| to check that the constraint matrix to
alpar@1
   617
be loaded has no duplicate elements.
alpar@1
   618
alpar@1
   619
\subsubsection*{Returns}
alpar@1
   620
alpar@1
   621
The routine \verb|glp_check_dup| returns one of the following values:
alpar@1
   622
alpar@1
   623
\noindent
alpar@1
   624
\begin{tabular}{@{}r@{\ }c@{\ }l@{}}
alpar@1
   625
0&---&the matrix has no duplicate elements;\\
alpar@1
   626
$-k$&---&indices $ia[k]$ or/and $ja[k]$ are out of range;\\
alpar@1
   627
$+k$&---&element $(ia[k],ja[k])$ is duplicate.\\
alpar@1
   628
\end{tabular}
alpar@1
   629
alpar@1
   630
\subsection{glp\_sort\_matrix---sort elements of the constraint matrix}
alpar@1
   631
alpar@1
   632
\subsubsection*{Synopsis}
alpar@1
   633
alpar@1
   634
\begin{verbatim}
alpar@1
   635
void glp_sort_matrix(glp_prob *P);
alpar@1
   636
\end{verbatim}
alpar@1
   637
alpar@1
   638
\subsubsection*{Description}
alpar@1
   639
alpar@1
   640
The routine \verb|glp_sort_matrix| sorts elements of the constraint
alpar@1
   641
matrix rebuilding its row and column linked lists. On exit from the
alpar@1
   642
routine the constraint matrix is not changed, however, elements in the
alpar@1
   643
row linked lists become ordered by ascending column indices, and the
alpar@1
   644
elements in the column linked lists become ordered by ascending row
alpar@1
   645
indices.
alpar@1
   646
alpar@1
   647
\subsection{glp\_del\_rows---delete rows from problem object}
alpar@1
   648
alpar@1
   649
\subsubsection*{Synopsis}
alpar@1
   650
alpar@1
   651
\begin{verbatim}
alpar@1
   652
void glp_del_rows(glp_prob *lp, int nrs, const int num[]);
alpar@1
   653
\end{verbatim}
alpar@1
   654
alpar@1
   655
\subsubsection*{Description}
alpar@1
   656
alpar@1
   657
The routine \verb|glp_del_rows| deletes rows from the specified problem
alpar@1
   658
ob-\linebreak ject. Ordinal numbers of rows to be deleted should be
alpar@1
   659
placed in locations \verb|num[1]|, \dots, \verb|num[nrs]|, where
alpar@1
   660
${\tt nrs}>0$.
alpar@1
   661
alpar@1
   662
Note that deleting rows involves changing ordinal numbers of other
alpar@1
   663
rows remaining in the problem object. New ordinal numbers of the
alpar@1
   664
remaining rows are assigned under the assumption that the original
alpar@1
   665
order of rows is not changed. Let, for example, before deletion there
alpar@1
   666
be five rows $a$, $b$, $c$, $d$, $e$ with ordinal numbers 1, 2, 3, 4, 5,
alpar@1
   667
and let rows $b$ and $d$ have been deleted. Then after deletion the
alpar@1
   668
remaining rows $a$, $c$, $e$ are assigned new oridinal numbers 1, 2, 3.
alpar@1
   669
alpar@1
   670
\subsection{glp\_del\_cols---delete columns from problem object}
alpar@1
   671
alpar@1
   672
\subsubsection*{Synopsis}
alpar@1
   673
alpar@1
   674
\begin{verbatim}
alpar@1
   675
void glp_del_cols(glp_prob *lp, int ncs, const int num[]);
alpar@1
   676
\end{verbatim}
alpar@1
   677
alpar@1
   678
\subsubsection*{Description}
alpar@1
   679
alpar@1
   680
The routine \verb|glp_del_cols| deletes columns from the specified
alpar@1
   681
problem object. Ordinal numbers of columns to be deleted should be
alpar@1
   682
placed in locations \verb|num[1]|, \dots, \verb|num[ncs]|, where
alpar@1
   683
${\tt ncs}>0$.
alpar@1
   684
alpar@1
   685
Note that deleting columns involves changing ordinal numbers of other
alpar@1
   686
columns remaining in the problem object. New ordinal numbers of the
alpar@1
   687
remaining columns are assigned under the assumption that the original
alpar@1
   688
order of columns is not changed. Let, for example, before deletion there
alpar@1
   689
be six columns $p$, $q$, $r$, $s$, $t$, $u$ with ordinal numbers 1, 2,
alpar@1
   690
3, 4, 5, 6, and let columns $p$, $q$, $s$ have been deleted. Then after
alpar@1
   691
deletion the remaining columns $r$, $t$, $u$ are assigned new ordinal
alpar@1
   692
numbers 1, 2, 3.
alpar@1
   693
alpar@1
   694
\subsection{glp\_copy\_prob---copy problem object content}
alpar@1
   695
alpar@1
   696
\subsubsection*{Synopsis}
alpar@1
   697
alpar@1
   698
\begin{verbatim}
alpar@1
   699
void glp_copy_prob(glp_prob *dest, glp_prob *prob, int names);
alpar@1
   700
\end{verbatim}
alpar@1
   701
alpar@1
   702
\subsubsection*{Description}
alpar@1
   703
alpar@1
   704
The routine \verb|glp_copy_prob| copies the content of the problem
alpar@1
   705
object \verb|prob| to the problem object \verb|dest|.
alpar@1
   706
alpar@1
   707
The parameter \verb|names| is a flag. If it is \verb|GLP_ON|,
alpar@1
   708
the routine also copies all symbolic names; otherwise, if it is
alpar@1
   709
\verb|GLP_OFF|, no symbolic names are copied.
alpar@1
   710
alpar@1
   711
\newpage
alpar@1
   712
alpar@1
   713
\subsection{glp\_erase\_prob---erase problem object content}
alpar@1
   714
alpar@1
   715
\subsubsection*{Synopsis}
alpar@1
   716
alpar@1
   717
\begin{verbatim}
alpar@1
   718
void glp_erase_prob(glp_prob *lp);
alpar@1
   719
\end{verbatim}
alpar@1
   720
alpar@1
   721
\subsubsection*{Description}
alpar@1
   722
alpar@1
   723
The routine \verb|glp_erase_prob| erases the content of the specified
alpar@1
   724
problem object. The effect of this operation is the same as if the
alpar@1
   725
problem object would be deleted with the routine \verb|glp_delete_prob|
alpar@1
   726
and then created anew with the routine \verb|glp_create_prob|, with the
alpar@1
   727
only exception that the handle (pointer) to the problem object remains
alpar@1
   728
valid.
alpar@1
   729
alpar@1
   730
\subsection{glp\_delete\_prob---delete problem object}
alpar@1
   731
alpar@1
   732
\subsubsection*{Synopsis}
alpar@1
   733
alpar@1
   734
\begin{verbatim}
alpar@1
   735
void glp_delete_prob(glp_prob *lp);
alpar@1
   736
\end{verbatim}
alpar@1
   737
alpar@1
   738
\subsubsection*{Description}
alpar@1
   739
alpar@1
   740
The routine \verb|glp_delete_prob| deletes a problem object, which the
alpar@1
   741
parameter \verb|lp| points to, freeing all the memory allocated to this
alpar@1
   742
object.
alpar@1
   743
alpar@1
   744
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
   745
alpar@1
   746
\newpage
alpar@1
   747
alpar@1
   748
\section{Problem retrieving routines}
alpar@1
   749
alpar@1
   750
\subsection{glp\_get\_prob\_name---retrieve problem name}
alpar@1
   751
alpar@1
   752
\subsubsection*{Synopsis}
alpar@1
   753
alpar@1
   754
\begin{verbatim}
alpar@1
   755
const char *glp_get_prob_name(glp_prob *lp);
alpar@1
   756
\end{verbatim}
alpar@1
   757
alpar@1
   758
\subsubsection*{Returns}
alpar@1
   759
alpar@1
   760
The routine \verb|glp_get_prob_name| returns a pointer to an internal
alpar@1
   761
buffer, which contains symbolic name of the problem. However, if the
alpar@1
   762
problem has no assigned name, the routine returns \verb|NULL|.
alpar@1
   763
alpar@1
   764
\subsection{glp\_get\_obj\_name---retrieve objective function name}
alpar@1
   765
alpar@1
   766
\subsubsection*{Synopsis}
alpar@1
   767
alpar@1
   768
\begin{verbatim}
alpar@1
   769
const char *glp_get_obj_name(glp_prob *lp);
alpar@1
   770
\end{verbatim}
alpar@1
   771
alpar@1
   772
\subsubsection*{Returns}
alpar@1
   773
alpar@1
   774
The routine \verb|glp_get_obj_name| returns a pointer to an internal
alpar@1
   775
buffer, which contains symbolic name assigned to the objective
alpar@1
   776
function. However, if the objective function has no assigned name, the
alpar@1
   777
routine returns \verb|NULL|.
alpar@1
   778
alpar@1
   779
\subsection{glp\_get\_obj\_dir---retrieve optimization direction flag}
alpar@1
   780
alpar@1
   781
\subsubsection*{Synopsis}
alpar@1
   782
alpar@1
   783
\begin{verbatim}
alpar@1
   784
int glp_get_obj_dir(glp_prob *lp);
alpar@1
   785
\end{verbatim}
alpar@1
   786
alpar@1
   787
\subsubsection*{Returns}
alpar@1
   788
alpar@1
   789
The routine \verb|glp_get_obj_dir| returns the optimization direction
alpar@1
   790
flag (i.e. ``sense'' of the objective function):
alpar@1
   791
alpar@1
   792
\begin{tabular}{@{}ll}
alpar@1
   793
\verb|GLP_MIN| & minimization; \\
alpar@1
   794
\verb|GLP_MAX| & maximization. \\
alpar@1
   795
\end{tabular}
alpar@1
   796
alpar@1
   797
\pagebreak
alpar@1
   798
alpar@1
   799
\subsection{glp\_get\_num\_rows---retrieve number of rows}
alpar@1
   800
alpar@1
   801
\subsubsection*{Synopsis}
alpar@1
   802
alpar@1
   803
\begin{verbatim}
alpar@1
   804
int glp_get_num_rows(glp_prob *lp);
alpar@1
   805
\end{verbatim}
alpar@1
   806
alpar@1
   807
\subsubsection*{Returns}
alpar@1
   808
alpar@1
   809
The routine \verb|glp_get_num_rows| returns the current number of rows
alpar@1
   810
in the specified problem object.
alpar@1
   811
alpar@1
   812
\subsection{glp\_get\_num\_cols---retrieve number of columns}
alpar@1
   813
alpar@1
   814
\subsubsection*{Synopsis}
alpar@1
   815
alpar@1
   816
\begin{verbatim}
alpar@1
   817
int glp_get_num_cols(glp_prob *lp);
alpar@1
   818
\end{verbatim}
alpar@1
   819
alpar@1
   820
\subsubsection*{Returns}
alpar@1
   821
alpar@1
   822
The routine \verb|glp_get_num_cols| returns the current number of
alpar@1
   823
columns the specified problem object.
alpar@1
   824
alpar@1
   825
\subsection{glp\_get\_row\_name---retrieve row name}
alpar@1
   826
alpar@1
   827
\subsubsection*{Synopsis}
alpar@1
   828
alpar@1
   829
\begin{verbatim}
alpar@1
   830
const char *glp_get_row_name(glp_prob *lp, int i);
alpar@1
   831
\end{verbatim}
alpar@1
   832
alpar@1
   833
\subsubsection*{Returns}
alpar@1
   834
alpar@1
   835
The routine \verb|glp_get_row_name| returns a pointer to an internal
alpar@1
   836
buffer, which contains a symbolic name assigned to \verb|i|-th row.
alpar@1
   837
However, if the row has no assigned name, the routine returns
alpar@1
   838
\verb|NULL|.
alpar@1
   839
alpar@1
   840
\subsection{glp\_get\_col\_name---retrieve column name}
alpar@1
   841
alpar@1
   842
\subsubsection*{Synopsis}
alpar@1
   843
alpar@1
   844
\begin{verbatim}
alpar@1
   845
const char *glp_get_col_name(glp_prob *lp, int j);
alpar@1
   846
\end{verbatim}
alpar@1
   847
alpar@1
   848
\subsubsection*{Returns}
alpar@1
   849
alpar@1
   850
The routine \verb|glp_get_col_name| returns a pointer to an internal
alpar@1
   851
buffer, which contains a symbolic name assigned to \verb|j|-th column.
alpar@1
   852
However, if the column has no assigned name, the routine returns
alpar@1
   853
\verb|NULL|.
alpar@1
   854
alpar@1
   855
\subsection{glp\_get\_row\_type---retrieve row type}
alpar@1
   856
alpar@1
   857
\subsubsection*{Synopsis}
alpar@1
   858
alpar@1
   859
\begin{verbatim}
alpar@1
   860
int glp_get_row_type(glp_prob *lp, int i);
alpar@1
   861
\end{verbatim}
alpar@1
   862
alpar@1
   863
\subsubsection*{Returns}
alpar@1
   864
alpar@1
   865
The routine \verb|glp_get_row_type| returns the type of \verb|i|-th
alpar@1
   866
row, i.e. the type of corresponding auxiliary variable, as follows:
alpar@1
   867
alpar@1
   868
\begin{tabular}{@{}ll}
alpar@1
   869
\verb|GLP_FR| & free (unbounded) variable; \\
alpar@1
   870
\verb|GLP_LO| & variable with lower bound; \\
alpar@1
   871
\verb|GLP_UP| & variable with upper bound; \\
alpar@1
   872
\verb|GLP_DB| & double-bounded variable; \\
alpar@1
   873
\verb|GLP_FX| & fixed variable. \\
alpar@1
   874
\end{tabular}
alpar@1
   875
alpar@1
   876
\subsection{glp\_get\_row\_lb---retrieve row lower bound}
alpar@1
   877
alpar@1
   878
\subsubsection*{Synopsis}
alpar@1
   879
alpar@1
   880
\begin{verbatim}
alpar@1
   881
double glp_get_row_lb(glp_prob *lp, int i);
alpar@1
   882
\end{verbatim}
alpar@1
   883
alpar@1
   884
\subsubsection*{Returns}
alpar@1
   885
alpar@1
   886
The routine \verb|glp_get_row_lb| returns the lower bound of
alpar@1
   887
\verb|i|-th row, i.e. the lower bound of corresponding auxiliary
alpar@1
   888
variable. However, if the row has no lower bound, the routine returns
alpar@1
   889
\verb|-DBL_MAX|.
alpar@1
   890
alpar@1
   891
\subsection{glp\_get\_row\_ub---retrieve row upper bound}
alpar@1
   892
alpar@1
   893
\subsubsection*{Synopsis}
alpar@1
   894
alpar@1
   895
\begin{verbatim}
alpar@1
   896
double glp_get_row_ub(glp_prob *lp, int i);
alpar@1
   897
\end{verbatim}
alpar@1
   898
alpar@1
   899
\subsubsection*{Returns}
alpar@1
   900
alpar@1
   901
The routine \verb|glp_get_row_ub| returns the upper bound of
alpar@1
   902
\verb|i|-th row, i.e. the upper bound of corresponding auxiliary
alpar@1
   903
variable. However, if the row has no upper bound, the routine returns
alpar@1
   904
\verb|+DBL_MAX|.
alpar@1
   905
alpar@1
   906
\subsection{glp\_get\_col\_type---retrieve column type}
alpar@1
   907
alpar@1
   908
\subsubsection*{Synopsis}
alpar@1
   909
alpar@1
   910
\begin{verbatim}
alpar@1
   911
int glp_get_col_type(glp_prob *lp, int j);
alpar@1
   912
\end{verbatim}
alpar@1
   913
alpar@1
   914
\subsubsection*{Returns}
alpar@1
   915
alpar@1
   916
The routine \verb|glp_get_col_type| returns the type of \verb|j|-th
alpar@1
   917
column, i.e. the type of corresponding structural variable, as follows:
alpar@1
   918
alpar@1
   919
\begin{tabular}{@{}ll}
alpar@1
   920
\verb|GLP_FR| & free (unbounded) variable; \\
alpar@1
   921
\verb|GLP_LO| & variable with lower bound; \\
alpar@1
   922
\verb|GLP_UP| & variable with upper bound; \\
alpar@1
   923
\verb|GLP_DB| & double-bounded variable; \\
alpar@1
   924
\verb|GLP_FX| & fixed variable. \\
alpar@1
   925
\end{tabular}
alpar@1
   926
alpar@1
   927
\subsection{glp\_get\_col\_lb---retrieve column lower bound}
alpar@1
   928
alpar@1
   929
\subsubsection*{Synopsis}
alpar@1
   930
alpar@1
   931
\begin{verbatim}
alpar@1
   932
double glp_get_col_lb(glp_prob *lp, int j);
alpar@1
   933
\end{verbatim}
alpar@1
   934
alpar@1
   935
\subsubsection*{Returns}
alpar@1
   936
alpar@1
   937
The routine \verb|glp_get_col_lb| returns the lower bound of
alpar@1
   938
\verb|j|-th column, i.e. the lower bound of corresponding structural
alpar@1
   939
variable. However, if the column has no lower bound, the routine returns
alpar@1
   940
\verb|-DBL_MAX|.
alpar@1
   941
alpar@1
   942
\subsection{glp\_get\_col\_ub---retrieve column upper bound}
alpar@1
   943
alpar@1
   944
\subsubsection*{Synopsis}
alpar@1
   945
alpar@1
   946
\begin{verbatim}
alpar@1
   947
double glp_get_col_ub(glp_prob *lp, int j);
alpar@1
   948
\end{verbatim}
alpar@1
   949
alpar@1
   950
\subsubsection*{Returns}
alpar@1
   951
alpar@1
   952
The routine \verb|glp_get_col_ub| returns the upper bound of
alpar@1
   953
\verb|j|-th column, i.e. the upper bound of corresponding structural
alpar@1
   954
variable. However, if the column has no upper bound, the routine returns
alpar@1
   955
\verb|+DBL_MAX|.
alpar@1
   956
alpar@1
   957
\subsection{glp\_get\_obj\_coef---retrieve objective coefficient or\\
alpar@1
   958
constant term}
alpar@1
   959
alpar@1
   960
\subsubsection*{Synopsis}
alpar@1
   961
alpar@1
   962
\begin{verbatim}
alpar@1
   963
double glp_get_obj_coef(glp_prob *lp, int j);
alpar@1
   964
\end{verbatim}
alpar@1
   965
alpar@1
   966
\subsubsection*{Returns}
alpar@1
   967
alpar@1
   968
The routine \verb|glp_get_obj_coef| returns the objective coefficient
alpar@1
   969
at \verb|j|-th structural variable (column).
alpar@1
   970
alpar@1
   971
If the parameter \verb|j| is 0, the routine returns the constant term
alpar@1
   972
(``shift'') of the objective function.
alpar@1
   973
alpar@1
   974
\subsection{glp\_get\_num\_nz---retrieve number of constraint
alpar@1
   975
coefficients}
alpar@1
   976
alpar@1
   977
\subsubsection*{Synopsis}
alpar@1
   978
alpar@1
   979
\begin{verbatim}
alpar@1
   980
int glp_get_num_nz(glp_prob *lp);
alpar@1
   981
\end{verbatim}
alpar@1
   982
alpar@1
   983
\subsubsection*{Returns}
alpar@1
   984
alpar@1
   985
The routine \verb|glp_get_num_nz| returns the number of non-zero
alpar@1
   986
elements in the constraint matrix of the specified problem object.
alpar@1
   987
alpar@1
   988
\subsection{glp\_get\_mat\_row---retrieve row of the constraint
alpar@1
   989
matrix}
alpar@1
   990
alpar@1
   991
\subsubsection*{Synopsis}
alpar@1
   992
alpar@1
   993
\begin{verbatim}
alpar@1
   994
int glp_get_mat_row(glp_prob *lp, int i, int ind[],
alpar@1
   995
      double val[]);
alpar@1
   996
\end{verbatim}
alpar@1
   997
alpar@1
   998
\subsubsection*{Description}
alpar@1
   999
alpar@1
  1000
The routine \verb|glp_get_mat_row| scans (non-zero) elements of
alpar@1
  1001
\verb|i|-th row of the constraint matrix of the specified problem object
alpar@1
  1002
and stores their column indices and numeric values to locations
alpar@1
  1003
\verb|ind[1]|, \dots, \verb|ind[len]| and \verb|val[1]|, \dots,
alpar@1
  1004
\verb|val[len]|, respectively, where $0\leq{\tt len}\leq n$ is the
alpar@1
  1005
number of elements in $i$-th row, $n$ is the number of columns.
alpar@1
  1006
alpar@1
  1007
The parameter \verb|ind| and/or \verb|val| can be specified as
alpar@1
  1008
\verb|NULL|, in which case corresponding information is not stored.
alpar@1
  1009
alpar@1
  1010
\subsubsection*{Returns}
alpar@1
  1011
alpar@1
  1012
The routine \verb|glp_get_mat_row| returns the length \verb|len|, i.e.
alpar@1
  1013
the number of (non-zero) elements in \verb|i|-th row.
alpar@1
  1014
alpar@1
  1015
\subsection{glp\_get\_mat\_col---retrieve column of the constraint\\
alpar@1
  1016
matrix}
alpar@1
  1017
alpar@1
  1018
\subsubsection*{Synopsis}
alpar@1
  1019
alpar@1
  1020
\begin{verbatim}
alpar@1
  1021
int glp_get_mat_col(glp_prob *lp, int j, int ind[],
alpar@1
  1022
      double val[]);
alpar@1
  1023
\end{verbatim}
alpar@1
  1024
alpar@1
  1025
\subsubsection*{Description}
alpar@1
  1026
alpar@1
  1027
The routine \verb|glp_get_mat_col| scans (non-zero) elements of
alpar@1
  1028
\verb|j|-th column of the constraint matrix of the specified problem
alpar@1
  1029
object and stores their row indices and numeric values to locations
alpar@1
  1030
\verb|ind[1]|, \dots, \verb|ind[len]| and \verb|val[1]|, \dots,
alpar@1
  1031
\verb|val[len]|, respectively, where $0\leq{\tt len}\leq m$ is the
alpar@1
  1032
number of elements in $j$-th column, $m$ is the number of rows.
alpar@1
  1033
alpar@1
  1034
The parameter \verb|ind| and/or \verb|val| can be specified as
alpar@1
  1035
\verb|NULL|, in which case corresponding information is not stored.
alpar@1
  1036
alpar@1
  1037
\subsubsection*{Returns}
alpar@1
  1038
alpar@1
  1039
The routine \verb|glp_get_mat_col| returns the length \verb|len|, i.e.
alpar@1
  1040
the number of (non-zero) elements in \verb|j|-th column.
alpar@1
  1041
alpar@1
  1042
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  1043
alpar@1
  1044
\newpage
alpar@1
  1045
alpar@1
  1046
\section{Row and column searching routines}
alpar@1
  1047
alpar@1
  1048
\subsection{glp\_create\_index---create the name index}
alpar@1
  1049
alpar@1
  1050
\subsubsection*{Synopsis}
alpar@1
  1051
alpar@1
  1052
\begin{verbatim}
alpar@1
  1053
void glp_create_index(glp_prob *lp);
alpar@1
  1054
\end{verbatim}
alpar@1
  1055
alpar@1
  1056
\subsubsection*{Description}
alpar@1
  1057
alpar@1
  1058
The routine \verb|glp_create_index| creates the name index for the
alpar@1
  1059
specified problem object. The name index is an auxiliary data structure,
alpar@1
  1060
which is intended to quickly (i.e. for logarithmic time) find rows and
alpar@1
  1061
columns by their names.
alpar@1
  1062
alpar@1
  1063
This routine can be called at any time. If the name index already
alpar@1
  1064
exists, the routine does nothing.
alpar@1
  1065
alpar@1
  1066
\subsection{glp\_find\_row---find row by its name}
alpar@1
  1067
alpar@1
  1068
\subsubsection*{Synopsis}
alpar@1
  1069
alpar@1
  1070
\begin{verbatim}
alpar@1
  1071
int glp_find_row(glp_prob *lp, const char *name);
alpar@1
  1072
\end{verbatim}
alpar@1
  1073
alpar@1
  1074
\subsubsection*{Returns}
alpar@1
  1075
alpar@1
  1076
The routine \verb|glp_find_row| returns the ordinal number of a row,
alpar@1
  1077
which is assigned (by the routine \verb|glp_set_row_name|) the specified
alpar@1
  1078
symbolic \verb|name|. If no such row exists, the routine returns 0.
alpar@1
  1079
alpar@1
  1080
\subsection{glp\_find\_col---find column by its name}
alpar@1
  1081
alpar@1
  1082
\subsubsection*{Synopsis}
alpar@1
  1083
alpar@1
  1084
\begin{verbatim}
alpar@1
  1085
int glp_find_col(glp_prob *lp, const char *name);
alpar@1
  1086
\end{verbatim}
alpar@1
  1087
alpar@1
  1088
\subsubsection*{Returns}
alpar@1
  1089
alpar@1
  1090
The routine \verb|glp_find_col| returns the ordinal number of a column,
alpar@1
  1091
which is assigned (by the routine \verb|glp_set_col_name|) the specified
alpar@1
  1092
symbolic \verb|name|. If no such column exists, the routine returns 0.
alpar@1
  1093
alpar@1
  1094
\subsection{glp\_delete\_index---delete the name index}
alpar@1
  1095
alpar@1
  1096
\subsubsection*{Synopsis}
alpar@1
  1097
alpar@1
  1098
\begin{verbatim}
alpar@1
  1099
void glp_delete_index(glp_prob *lp);
alpar@1
  1100
\end{verbatim}
alpar@1
  1101
alpar@1
  1102
\subsubsection*{Description}
alpar@1
  1103
alpar@1
  1104
The routine \verb|glp_delete_index| deletes the name index previously
alpar@1
  1105
created by the routine \verb|glp_create_index| and frees the memory
alpar@1
  1106
allocated to this auxiliary data structure.
alpar@1
  1107
alpar@1
  1108
This routine can be called at any time. If the name index does not
alpar@1
  1109
exist, the routine does nothing.
alpar@1
  1110
alpar@1
  1111
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  1112
alpar@1
  1113
\newpage
alpar@1
  1114
alpar@1
  1115
\section{Problem scaling routines}
alpar@1
  1116
alpar@1
  1117
\subsection{Background}
alpar@1
  1118
alpar@1
  1119
In GLPK the {\it scaling} means a linear transformation applied to the
alpar@1
  1120
constraint matrix to improve its numerical properties.\footnote{In many
alpar@1
  1121
cases a proper scaling allows making the constraint matrix to be better
alpar@1
  1122
conditioned, i.e. decreasing its condition number, that makes
alpar@1
  1123
computations numerically more stable.}
alpar@1
  1124
alpar@1
  1125
The main equality is the following:
alpar@1
  1126
$$\widetilde{A}=RAS,\eqno(2.1)$$
alpar@1
  1127
where $A=(a_{ij})$ is the original constraint matrix, $R=(r_{ii})>0$ is
alpar@1
  1128
a diagonal matrix used to scale rows (constraints), $S=(s_{jj})>0$ is a
alpar@1
  1129
diagonal matrix used to scale columns (variables), $\widetilde{A}$ is
alpar@1
  1130
the scaled constraint matrix.
alpar@1
  1131
alpar@1
  1132
From (2.1) it follows that in the {\it scaled} problem instance each
alpar@1
  1133
original constraint coefficient $a_{ij}$ is replaced by corresponding
alpar@1
  1134
scaled constraint coefficient:
alpar@1
  1135
$$\widetilde{a}_{ij}=r_{ii}a_{ij}s_{jj}.\eqno(2.2)$$
alpar@1
  1136
alpar@1
  1137
Note that the scaling is performed internally and therefore
alpar@1
  1138
transparently to the user. This means that on API level the user always
alpar@1
  1139
deal with unscaled data.
alpar@1
  1140
alpar@1
  1141
Scale factors $r_{ii}$ and $s_{jj}$ can be set or changed at any time
alpar@1
  1142
either directly by the application program in a problem specific way
alpar@1
  1143
(with the routines \verb|glp_set_rii| and \verb|glp_set_sjj|), or by
alpar@1
  1144
some API routines intended for automatic scaling.
alpar@1
  1145
alpar@1
  1146
\subsection{glp\_set\_rii---set (change) row scale factor}
alpar@1
  1147
alpar@1
  1148
\subsubsection*{Synopsis}
alpar@1
  1149
alpar@1
  1150
\begin{verbatim}
alpar@1
  1151
void glp_set_rii(glp_prob *lp, int i, double rii);
alpar@1
  1152
\end{verbatim}
alpar@1
  1153
alpar@1
  1154
\subsubsection*{Description}
alpar@1
  1155
alpar@1
  1156
The routine \verb|glp_set_rii| sets (changes) the scale factor $r_{ii}$
alpar@1
  1157
for $i$-th row of the specified problem object.
alpar@1
  1158
alpar@1
  1159
\subsection{glp\_set\_sjj---set (change) column scale factor}
alpar@1
  1160
alpar@1
  1161
\subsubsection*{Synopsis}
alpar@1
  1162
alpar@1
  1163
\begin{verbatim}
alpar@1
  1164
void glp_set_sjj(glp_prob *lp, int j, double sjj);
alpar@1
  1165
\end{verbatim}
alpar@1
  1166
alpar@1
  1167
\subsubsection*{Description}
alpar@1
  1168
alpar@1
  1169
The routine \verb|glp_set_sjj| sets (changes) the scale factor $s_{jj}$
alpar@1
  1170
for $j$-th column of the specified problem object.
alpar@1
  1171
alpar@1
  1172
\subsection{glp\_get\_rii---retrieve row scale factor}
alpar@1
  1173
alpar@1
  1174
\subsubsection*{Synopsis}
alpar@1
  1175
alpar@1
  1176
\begin{verbatim}
alpar@1
  1177
double glp_get_rii(glp_prob *lp, int i);
alpar@1
  1178
\end{verbatim}
alpar@1
  1179
alpar@1
  1180
\subsubsection*{Returns}
alpar@1
  1181
alpar@1
  1182
The routine \verb|glp_get_rii| returns current scale factor $r_{ii}$ for
alpar@1
  1183
$i$-th row of the specified problem object.
alpar@1
  1184
alpar@1
  1185
\subsection{glp\_get\_sjj---retrieve column scale factor}
alpar@1
  1186
alpar@1
  1187
\subsubsection*{Synopsis}
alpar@1
  1188
alpar@1
  1189
\begin{verbatim}
alpar@1
  1190
double glp_get_sjj(glp_prob *lp, int j);
alpar@1
  1191
\end{verbatim}
alpar@1
  1192
alpar@1
  1193
\subsubsection*{Returns}
alpar@1
  1194
alpar@1
  1195
The routine \verb|glp_get_sjj| returns current scale factor $s_{jj}$ for
alpar@1
  1196
$j$-th column of the specified problem object.
alpar@1
  1197
alpar@1
  1198
\subsection{glp\_scale\_prob---scale problem data}
alpar@1
  1199
alpar@1
  1200
\subsubsection*{Synopsis}
alpar@1
  1201
alpar@1
  1202
\begin{verbatim}
alpar@1
  1203
void glp_scale_prob(glp_prob *lp, int flags);
alpar@1
  1204
\end{verbatim}
alpar@1
  1205
alpar@1
  1206
\subsubsection*{Description}
alpar@1
  1207
alpar@1
  1208
The routine \verb|glp_scale_prob| performs automatic scaling of problem
alpar@1
  1209
data for the specified problem object.
alpar@1
  1210
alpar@1
  1211
The parameter \verb|flags| specifies scaling options used by the
alpar@1
  1212
routine. The options can be combined with the bitwise OR operator and
alpar@1
  1213
may be the following:
alpar@1
  1214
alpar@1
  1215
\begin{tabular}{@{}ll}
alpar@1
  1216
\verb|GLP_SF_GM| & perform geometric mean scaling;\\
alpar@1
  1217
\verb|GLP_SF_EQ| & perform equilibration scaling;\\
alpar@1
  1218
\verb|GLP_SF_2N| & round scale factors to nearest power of two;\\
alpar@1
  1219
\verb|GLP_SF_SKIP| & skip scaling, if the problem is well scaled.\\
alpar@1
  1220
\end{tabular}
alpar@1
  1221
alpar@1
  1222
The parameter \verb|flags| may be specified as \verb|GLP_SF_AUTO|, in
alpar@1
  1223
which case the routine chooses the scaling options automatically.
alpar@1
  1224
alpar@1
  1225
\subsection{glp\_unscale\_prob---unscale problem data}
alpar@1
  1226
alpar@1
  1227
\subsubsection*{Synopsis}
alpar@1
  1228
alpar@1
  1229
\begin{verbatim}
alpar@1
  1230
void glp_unscale_prob(glp_prob *lp);
alpar@1
  1231
\end{verbatim}
alpar@1
  1232
alpar@1
  1233
The routine \verb|glp_unscale_prob| performs unscaling of problem data
alpar@1
  1234
for the specified problem object.
alpar@1
  1235
alpar@1
  1236
``Unscaling'' means replacing the current scaling matrices $R$ and $S$
alpar@1
  1237
by unity matrices that cancels the scaling effect.
alpar@1
  1238
alpar@1
  1239
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  1240
alpar@1
  1241
\newpage
alpar@1
  1242
alpar@1
  1243
\section{LP basis constructing routines}
alpar@1
  1244
alpar@1
  1245
\subsection{Background}
alpar@1
  1246
alpar@1
  1247
To start the search the simplex method needs a valid initial basis. In
alpar@1
  1248
GLPK the basis is completely defined by a set of {\it statuses} assigned
alpar@1
  1249
to {\it all} (auxiliary and structural) variables, where the status may
alpar@1
  1250
be one of the following:
alpar@1
  1251
alpar@1
  1252
\begin{tabular}{@{}ll}
alpar@1
  1253
\verb|GLP_BS| & basic variable;\\
alpar@1
  1254
\verb|GLP_NL| & non-basic variable having active lower bound;\\
alpar@1
  1255
\verb|GLP_NU| & non-basic variable having active upper bound;\\
alpar@1
  1256
\verb|GLP_NF| & non-basic free variable;\\
alpar@1
  1257
\verb|GLP_NS| & non-basic fixed variable.\\
alpar@1
  1258
\end{tabular}
alpar@1
  1259
alpar@1
  1260
The basis is {\it valid}, if the basis matrix, which is a matrix built
alpar@1
  1261
of columns of the augmented constraint matrix $(I\:|-A)$ corresponding
alpar@1
  1262
to basic variables, is non-singular. This, in particular, means that
alpar@1
  1263
the number of basic variables must be the same as the number of rows in
alpar@1
  1264
the problem object. (For more details see Section \ref{lpbasis}, page
alpar@1
  1265
\pageref{lpbasis}.)
alpar@1
  1266
alpar@1
  1267
Any initial basis may be constructed (or restored) with the API
alpar@1
  1268
routines \verb|glp_set_row_stat| and \verb|glp_set_col_stat| by
alpar@1
  1269
assigning appropriate statuses to auxiliary and structural variables.
alpar@1
  1270
Another way to construct an initial basis is to use API routines like
alpar@1
  1271
\verb|glp_adv_basis|, which implement so called
alpar@1
  1272
{\it crashing}.\footnote{This term is from early linear programming
alpar@1
  1273
systems and means a heuristic to construct a valid initial basis.} Note
alpar@1
  1274
that on normal exit the simplex solver remains the basis valid, so in
alpar@1
  1275
case of reoptimization there is no need to construct an initial basis
alpar@1
  1276
from scratch.
alpar@1
  1277
alpar@1
  1278
\subsection{glp\_set\_row\_stat---set (change) row status}
alpar@1
  1279
alpar@1
  1280
\subsubsection*{Synopsis}
alpar@1
  1281
alpar@1
  1282
\begin{verbatim}
alpar@1
  1283
void glp_set_row_stat(glp_prob *lp, int i, int stat);
alpar@1
  1284
\end{verbatim}
alpar@1
  1285
alpar@1
  1286
\subsubsection*{Description}
alpar@1
  1287
alpar@1
  1288
The routine \verb|glp_set_row_stat| sets (changes) the current status
alpar@1
  1289
of \verb|i|-th row (auxiliary variable) as specified by the parameter
alpar@1
  1290
\verb|stat|:
alpar@1
  1291
alpar@1
  1292
\begin{tabular}{@{}lp{104.2mm}@{}}
alpar@1
  1293
\verb|GLP_BS| & make the row basic (make the constraint inactive); \\
alpar@1
  1294
\verb|GLP_NL| & make the row non-basic (make the constraint active); \\
alpar@1
  1295
\end{tabular}
alpar@1
  1296
alpar@1
  1297
\newpage
alpar@1
  1298
alpar@1
  1299
\begin{tabular}{@{}lp{104.2mm}@{}}
alpar@1
  1300
\verb|GLP_NU| & make the row non-basic and set it to the upper bound;
alpar@1
  1301
   if the row is not double-bounded, this status is equivalent to
alpar@1
  1302
   \verb|GLP_NL| (only in the case of this routine); \\
alpar@1
  1303
\verb|GLP_NF| & the same as \verb|GLP_NL| (only in the case of this
alpar@1
  1304
   routine); \\
alpar@1
  1305
\verb|GLP_NS| & the same as \verb|GLP_NL| (only in the case of this
alpar@1
  1306
   routine). \\
alpar@1
  1307
\end{tabular}
alpar@1
  1308
alpar@1
  1309
\subsection{glp\_set\_col\_stat---set (change) column status}
alpar@1
  1310
alpar@1
  1311
\subsubsection*{Synopsis}
alpar@1
  1312
alpar@1
  1313
\begin{verbatim}
alpar@1
  1314
void glp_set_col_stat(glp_prob *lp, int j, int stat);
alpar@1
  1315
\end{verbatim}
alpar@1
  1316
alpar@1
  1317
\subsubsection*{Description}
alpar@1
  1318
alpar@1
  1319
The routine \verb|glp_set_col_stat sets| (changes) the current status
alpar@1
  1320
of \verb|j|-th column (structural variable) as specified by the
alpar@1
  1321
parameter \verb|stat|:
alpar@1
  1322
alpar@1
  1323
\begin{tabular}{@{}lp{104.2mm}@{}}
alpar@1
  1324
\verb|GLP_BS| & make the column basic; \\
alpar@1
  1325
\verb|GLP_NL| & make the column non-basic; \\
alpar@1
  1326
\verb|GLP_NU| & make the column non-basic and set it to the upper
alpar@1
  1327
   bound; if the column is not double-bounded, this status is equivalent
alpar@1
  1328
   to \verb|GLP_NL| (only in the case of this routine); \\
alpar@1
  1329
\verb|GLP_NF| & the same as \verb|GLP_NL| (only in the case of this
alpar@1
  1330
   routine); \\
alpar@1
  1331
\verb|GLP_NS| & the same as \verb|GLP_NL| (only in the case of this
alpar@1
  1332
   routine).
alpar@1
  1333
\end{tabular}
alpar@1
  1334
alpar@1
  1335
\subsection{glp\_std\_basis---construct standard initial LP basis}
alpar@1
  1336
alpar@1
  1337
\subsubsection*{Synopsis}
alpar@1
  1338
alpar@1
  1339
\begin{verbatim}
alpar@1
  1340
void glp_std_basis(glp_prob *lp);
alpar@1
  1341
\end{verbatim}
alpar@1
  1342
alpar@1
  1343
\subsubsection*{Description}
alpar@1
  1344
alpar@1
  1345
The routine \verb|glp_std_basis| constructs the ``standard'' (trivial)
alpar@1
  1346
initial LP basis for the specified problem object.
alpar@1
  1347
alpar@1
  1348
In the ``standard'' LP basis all auxiliary variables (rows) are basic,
alpar@1
  1349
and all structural variables (columns) are non-basic (so the
alpar@1
  1350
corresponding basis matrix is unity).
alpar@1
  1351
alpar@1
  1352
\newpage
alpar@1
  1353
alpar@1
  1354
\subsection{glp\_adv\_basis---construct advanced initial LP basis}
alpar@1
  1355
alpar@1
  1356
\subsubsection*{Synopsis}
alpar@1
  1357
alpar@1
  1358
\begin{verbatim}
alpar@1
  1359
void glp_adv_basis(glp_prob *lp, int flags);
alpar@1
  1360
\end{verbatim}
alpar@1
  1361
alpar@1
  1362
\subsubsection*{Description}
alpar@1
  1363
alpar@1
  1364
The routine \verb|glp_adv_basis| constructs an advanced initial LP
alpar@1
  1365
basis for the specified problem object.
alpar@1
  1366
alpar@1
  1367
The parameter \verb|flags| is reserved for use in the future and must
alpar@1
  1368
be specified as zero.
alpar@1
  1369
alpar@1
  1370
In order to construct the advanced initial LP basis the routine does
alpar@1
  1371
the following:
alpar@1
  1372
alpar@1
  1373
1) includes in the basis all non-fixed auxiliary variables;
alpar@1
  1374
alpar@1
  1375
2) includes in the basis as many non-fixed structural variables as
alpar@1
  1376
possible keeping the triangular form of the basis matrix;
alpar@1
  1377
alpar@1
  1378
3) includes in the basis appropriate (fixed) auxiliary variables to
alpar@1
  1379
complete the basis.
alpar@1
  1380
alpar@1
  1381
As a result the initial LP basis has as few fixed variables as possible
alpar@1
  1382
and the corresponding basis matrix is triangular.
alpar@1
  1383
alpar@1
  1384
\subsection{glp\_cpx\_basis---construct Bixby's initial LP basis}
alpar@1
  1385
alpar@1
  1386
\subsubsection*{Synopsis}
alpar@1
  1387
alpar@1
  1388
\begin{verbatim}
alpar@1
  1389
void glp_cpx_basis(glp_prob *lp);
alpar@1
  1390
\end{verbatim}
alpar@1
  1391
alpar@1
  1392
\subsubsection*{Description}
alpar@1
  1393
alpar@1
  1394
The routine \verb|glp_cpx_basis| constructs an initial basis for the
alpar@1
  1395
specified problem object with the algorithm proposed by
alpar@1
  1396
R.~Bixby.\footnote{Robert E. Bixby, ``Implementing the Simplex Method:
alpar@1
  1397
The Initial Basis.'' ORSA Journal on Computing, Vol. 4, No. 3, 1992,
alpar@1
  1398
pp. 267-84.}
alpar@1
  1399
alpar@1
  1400
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  1401
alpar@1
  1402
\newpage
alpar@1
  1403
alpar@1
  1404
\section{Simplex method routines}
alpar@1
  1405
alpar@1
  1406
The {\it simplex method} is a well known efficient numerical procedure
alpar@1
  1407
to solve LP problems.
alpar@1
  1408
alpar@1
  1409
On each iteration the simplex method transforms the original system of
alpar@1
  1410
equaility constraints (1.2) resolving them through different sets of
alpar@1
  1411
variables to an equivalent system called {\it the simplex table} (or
alpar@1
  1412
sometimes {\it the simplex tableau}), which has the following form:
alpar@1
  1413
$$
alpar@1
  1414
\begin{array}{r@{\:}c@{\:}r@{\:}c@{\:}r@{\:}c@{\:}r}
alpar@1
  1415
z&=&d_1(x_N)_1&+&d_2(x_N)_2&+ \dots +&d_n(x_N)_n \\
alpar@1
  1416
(x_B)_1&=&\xi_{11}(x_N)_1& +& \xi_{12}(x_N)_2& + \dots +&
alpar@1
  1417
   \xi_{1n}(x_N)_n \\
alpar@1
  1418
(x_B)_2&=& \xi_{21}(x_N)_1& +& \xi_{22}(x_N)_2& + \dots +&
alpar@1
  1419
   \xi_{2n}(x_N)_n \\
alpar@1
  1420
\multicolumn{7}{c}
alpar@1
  1421
{.\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .} \\
alpar@1
  1422
(x_B)_m&=&\xi_{m1}(x_N)_1& +& \xi_{m2}(x_N)_2& + \dots +&
alpar@1
  1423
   \xi_{mn}(x_N)_n \\
alpar@1
  1424
\end{array} \eqno (2.3)
alpar@1
  1425
$$
alpar@1
  1426
where: $(x_B)_1, (x_B)_2, \dots, (x_B)_m$ are basic variables;
alpar@1
  1427
$(x_N)_1, (x_N)_2, \dots, (x_N)_n$ are non-basic variables;
alpar@1
  1428
$d_1, d_2, \dots, d_n$ are reduced costs;
alpar@1
  1429
$\xi_{11}, \xi_{12}, \dots, \xi_{mn}$ are coefficients of the
alpar@1
  1430
simplex table. (May note that the original LP problem (1.1)---(1.3) also
alpar@1
  1431
has the form of a simplex table, where all equalities are resolved
alpar@1
  1432
through auxiliary variables.)
alpar@1
  1433
alpar@1
  1434
From the linear programming theory it is known that if an optimal
alpar@1
  1435
solution of the LP problem (1.1)---(1.3) exists, it can always be
alpar@1
  1436
written in the form (2.3), where non-basic variables are set on their
alpar@1
  1437
bounds while values of the objective function and basic variables are
alpar@1
  1438
determined by the corresponding equalities of the simplex table.
alpar@1
  1439
alpar@1
  1440
A set of values of all basic and non-basic variables determined by the
alpar@1
  1441
simplex table is called {\it basic solution}. If all basic variables are
alpar@1
  1442
within their bounds, the basic solution is called {\it (primal)
alpar@1
  1443
feasible}, otherwise it is called {\it (primal) infeasible}. A feasible
alpar@1
  1444
basic solution, which provides a smallest (in case of minimization) or
alpar@1
  1445
a largest (in case of maximization) value of the objective function is
alpar@1
  1446
called {\it optimal}. Therefore, for solving LP problem the simplex
alpar@1
  1447
method tries to find its optimal basic solution.
alpar@1
  1448
alpar@1
  1449
Primal feasibility of some basic solution may be stated by simple
alpar@1
  1450
checking if all basic variables are within their bounds. Basic solution
alpar@1
  1451
is optimal if additionally the following optimality conditions are
alpar@1
  1452
satisfied for all non-basic variables:
alpar@1
  1453
\begin{center}
alpar@1
  1454
\begin{tabular}{lcc}
alpar@1
  1455
Status of $(x_N)_j$ & Minimization & Maximization \\
alpar@1
  1456
\hline
alpar@1
  1457
$(x_N)_j$ is free & $d_j = 0$ & $d_j = 0$ \\
alpar@1
  1458
$(x_N)_j$ is on its lower bound & $d_j \geq 0$ & $d_j \leq 0$ \\
alpar@1
  1459
$(x_N)_j$ is on its upper bound & $d_j \leq 0$ & $d_j \geq 0$ \\
alpar@1
  1460
\end{tabular}
alpar@1
  1461
\end{center}
alpar@1
  1462
In other words, basic solution is optimal if there is no non-basic
alpar@1
  1463
variable, which changing in the feasible direction (i.e. increasing if
alpar@1
  1464
it is free or on its lower bound, or decreasing if it is free or on its
alpar@1
  1465
upper bound) can improve (i.e. decrease in case of minimization or
alpar@1
  1466
increase in case of maximization) the objective function.
alpar@1
  1467
alpar@1
  1468
If all non-basic variables satisfy to the optimality conditions shown
alpar@1
  1469
above (independently on whether basic variables are within their bounds
alpar@1
  1470
or not), the basic solution is called {\it dual feasible}, otherwise it
alpar@1
  1471
is called {\it dual infeasible}.
alpar@1
  1472
alpar@1
  1473
It may happen that some LP problem has no primal feasible solution due
alpar@1
  1474
to incorrect formulation---this means that its constraints conflict
alpar@1
  1475
with each other. It also may happen that some LP problem has unbounded
alpar@1
  1476
solution again due to incorrect formulation---this means that some
alpar@1
  1477
non-basic variable can improve the objective function, i.e. the
alpar@1
  1478
optimality conditions are violated, and at the same time this variable
alpar@1
  1479
can infinitely change in the feasible direction meeting no resistance
alpar@1
  1480
from basic variables. (May note that in the latter case the LP problem
alpar@1
  1481
has no dual feasible solution.)
alpar@1
  1482
alpar@1
  1483
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  1484
alpar@1
  1485
\subsection{glp\_simplex---solve LP problem with the primal or dual
alpar@1
  1486
simplex method}
alpar@1
  1487
alpar@1
  1488
\subsubsection*{Synopsis}
alpar@1
  1489
alpar@1
  1490
\begin{verbatim}
alpar@1
  1491
int glp_simplex(glp_prob *lp, const glp_smcp *parm);
alpar@1
  1492
\end{verbatim}
alpar@1
  1493
alpar@1
  1494
\subsubsection*{Description}
alpar@1
  1495
alpar@1
  1496
The routine \verb|glp_simplex| is a driver to the LP solver based on
alpar@1
  1497
the simplex method. This routine retrieves problem data from the
alpar@1
  1498
specified problem object, calls the solver to solve the problem
alpar@1
  1499
instance, and stores results of computations back into the problem
alpar@1
  1500
object.
alpar@1
  1501
alpar@1
  1502
The simplex solver has a set of control parameters. Values of the
alpar@1
  1503
control parameters can be passed in the structure \verb|glp_smcp|,
alpar@1
  1504
which the parameter \verb|parm| points to. For detailed description of
alpar@1
  1505
this structure see paragraph ``Control parameters'' below.
alpar@1
  1506
Before specifying some control parameters the application program
alpar@1
  1507
should initialize the structure \verb|glp_smcp| by default values of
alpar@1
  1508
all control parameters using the routine \verb|glp_init_smcp| (see the
alpar@1
  1509
next subsection). This is needed for backward compatibility, because in
alpar@1
  1510
the future there may appear new members in the structure
alpar@1
  1511
\verb|glp_smcp|.
alpar@1
  1512
alpar@1
  1513
The parameter \verb|parm| can be specified as \verb|NULL|, in which
alpar@1
  1514
case the solver uses default settings.
alpar@1
  1515
alpar@1
  1516
\subsubsection*{Returns}
alpar@1
  1517
alpar@1
  1518
\def\arraystretch{1}
alpar@1
  1519
alpar@1
  1520
\begin{tabular}{@{}p{25mm}p{97.3mm}@{}}
alpar@1
  1521
0 & The LP problem instance has been successfully solved. (This code
alpar@1
  1522
does {\it not} necessarily mean that the solver has found optimal
alpar@1
  1523
solution. It only means that the solution process was successful.) \\
alpar@1
  1524
\verb|GLP_EBADB| & Unable to start the search, because the initial basis
alpar@1
  1525
specified in the problem object is invalid---the number of basic
alpar@1
  1526
(auxiliary and structural) variables is not the same as the number of
alpar@1
  1527
rows in the problem object.\\
alpar@1
  1528
\verb|GLP_ESING| & Unable to start the search, because the basis matrix
alpar@1
  1529
corresponding to the initial basis is singular within the working
alpar@1
  1530
precision.\\
alpar@1
  1531
\verb|GLP_ECOND| & Unable to start the search, because the basis matrix
alpar@1
  1532
corresponding to the initial basis is ill-conditioned, i.e. its
alpar@1
  1533
condition number is too large.\\
alpar@1
  1534
\verb|GLP_EBOUND| & Unable to start the search, because some
alpar@1
  1535
double-bounded (auxiliary or structural) variables have incorrect
alpar@1
  1536
bounds.\\
alpar@1
  1537
\verb|GLP_EFAIL| & The search was prematurely terminated due to the
alpar@1
  1538
solver failure.\\
alpar@1
  1539
\verb|GLP_EOBJLL| & The search was prematurely terminated, because the
alpar@1
  1540
objective function being maximized has reached its lower limit and
alpar@1
  1541
continues decreasing (the dual simplex only).\\
alpar@1
  1542
\verb|GLP_EOBJUL| & The search was prematurely terminated, because the
alpar@1
  1543
objective function being minimized has reached its upper limit and
alpar@1
  1544
continues increasing (the dual simplex only).\\
alpar@1
  1545
\verb|GLP_EITLIM| & The search was prematurely terminated, because the
alpar@1
  1546
simplex iteration limit has been exceeded.\\
alpar@1
  1547
\verb|GLP_ETMLIM| & The search was prematurely terminated, because the
alpar@1
  1548
time limit has been exceeded.\\
alpar@1
  1549
\verb|GLP_ENOPFS| & The LP problem instance has no primal feasible
alpar@1
  1550
solution (only if the LP presolver is used).\\
alpar@1
  1551
\verb|GLP_ENODFS| & The LP problem instance has no dual feasible
alpar@1
  1552
solution (only if the LP presolver is used).\\
alpar@1
  1553
\end{tabular}
alpar@1
  1554
alpar@1
  1555
\subsubsection*{Built-in LP presolver}
alpar@1
  1556
alpar@1
  1557
The simplex solver has {\it built-in LP presolver}. It is a subprogram
alpar@1
  1558
that transforms the original LP problem specified in the problem object
alpar@1
  1559
to an equivalent LP problem, which may be easier for solving with the
alpar@1
  1560
simplex method than the original one. This is attained mainly due to
alpar@1
  1561
reducing the problem size and improving its numeric properties (for
alpar@1
  1562
example, by removing some inactive constraints or by fixing some
alpar@1
  1563
non-basic variables). Once the transformed LP problem has been solved,
alpar@1
  1564
the presolver transforms its basic solution back to the corresponding
alpar@1
  1565
basic solution of the original problem.
alpar@1
  1566
alpar@1
  1567
Presolving is an optional feature of the routine \verb|glp_simplex|,
alpar@1
  1568
and by default it is disabled. In order to enable the LP presolver the
alpar@1
  1569
control parameter \verb|presolve| should be set to \verb|GLP_ON| (see
alpar@1
  1570
paragraph ``Control parameters'' below). Presolving may be used when
alpar@1
  1571
the problem instance is solved for the first time. However, on
alpar@1
  1572
performing re-optimization the presolver should be disabled.
alpar@1
  1573
alpar@1
  1574
The presolving procedure is transparent to the API user in the sense
alpar@1
  1575
that all necessary processing is performed internally, and a basic
alpar@1
  1576
solution of the original problem recovered by the presolver is the same
alpar@1
  1577
as if it were computed directly, i.e. without presolving.
alpar@1
  1578
alpar@1
  1579
Note that the presolver is able to recover only optimal solutions. If
alpar@1
  1580
a computed solution is infeasible or non-optimal, the corresponding
alpar@1
  1581
solution of the original problem cannot be recovered and therefore
alpar@1
  1582
remains undefined. If you need to know a basic solution even if it is
alpar@1
  1583
infeasible or non-optimal, the presolver should be disabled.
alpar@1
  1584
alpar@1
  1585
\subsubsection*{Terminal output}
alpar@1
  1586
alpar@1
  1587
Solving large problem instances may take a long time, so the solver
alpar@1
  1588
reports some information about the current basic solution, which is sent
alpar@1
  1589
to the terminal. This information has the following format:
alpar@1
  1590
alpar@1
  1591
\begin{verbatim}
alpar@1
  1592
nnn:  obj = xxx  infeas = yyy (ddd)
alpar@1
  1593
\end{verbatim}
alpar@1
  1594
alpar@1
  1595
\noindent
alpar@1
  1596
where: `\verb|nnn|' is the iteration number, `\verb|xxx|' is the
alpar@1
  1597
current value of the objective function (it is is unscaled and has
alpar@1
  1598
correct sign); `\verb|yyy|' is the current sum of primal or dual
alpar@1
  1599
infeasibilities (it is scaled and therefore may be used only for visual
alpar@1
  1600
estimating), `\verb|ddd|' is the current number of fixed basic
alpar@1
  1601
variables.
alpar@1
  1602
alpar@1
  1603
The symbol preceding the iteration number indicates which phase of the
alpar@1
  1604
simplex method is in effect:
alpar@1
  1605
alpar@1
  1606
{\it Blank} means that the solver is searching for primal feasible
alpar@1
  1607
solution using the primal simplex or for dual feasible solution using
alpar@1
  1608
the dual simplex;
alpar@1
  1609
alpar@1
  1610
{\it Asterisk} (\verb|*|) means that the solver is searching for
alpar@1
  1611
optimal solution using the primal simplex;
alpar@1
  1612
alpar@1
  1613
{\it Vertical dash} (\verb/|/) means that the solver is searching for
alpar@1
  1614
optimal solution using the dual simplex.
alpar@1
  1615
alpar@1
  1616
\subsubsection*{Control parameters}
alpar@1
  1617
alpar@1
  1618
This paragraph describes all control parameters currently used in the
alpar@1
  1619
simplex solver. Symbolic names of control parameters are names of
alpar@1
  1620
corresponding members in the structure \verb|glp_smcp|.
alpar@1
  1621
alpar@1
  1622
\medskip
alpar@1
  1623
alpar@1
  1624
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1625
\multicolumn{2}{@{}l}{{\tt int msg\_lev} (default: {\tt GLP\_MSG\_ALL})}
alpar@1
  1626
\\
alpar@1
  1627
&Message level for terminal output:\\
alpar@1
  1628
&\verb|GLP_MSG_OFF|---no output;\\
alpar@1
  1629
&\verb|GLP_MSG_ERR|---error and warning messages only;\\
alpar@1
  1630
&\verb|GLP_MSG_ON |---normal output;\\
alpar@1
  1631
&\verb|GLP_MSG_ALL|---full output (including informational messages).
alpar@1
  1632
\\
alpar@1
  1633
\end{tabular}
alpar@1
  1634
alpar@1
  1635
\medskip
alpar@1
  1636
alpar@1
  1637
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1638
\multicolumn{2}{@{}l}{{\tt int meth} (default: {\tt GLP\_PRIMAL})}
alpar@1
  1639
\\
alpar@1
  1640
&Simplex method option:\\
alpar@1
  1641
&\verb|GLP_PRIMAL|---use two-phase primal simplex;\\
alpar@1
  1642
&\verb|GLP_DUAL  |---use two-phase dual simplex;\\
alpar@1
  1643
&\verb|GLP_DUALP |---use two-phase dual simplex, and if it fails,
alpar@1
  1644
switch to the\\
alpar@1
  1645
&\verb|            |$\:$ primal simplex.\\
alpar@1
  1646
\end{tabular}
alpar@1
  1647
alpar@1
  1648
\medskip
alpar@1
  1649
alpar@1
  1650
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1651
\multicolumn{2}{@{}l}{{\tt int pricing} (default: {\tt GLP\_PT\_PSE})}
alpar@1
  1652
\\
alpar@1
  1653
&Pricing technique:\\
alpar@1
  1654
&\verb|GLP_PT_STD|---standard (textbook);\\
alpar@1
  1655
&\verb|GLP_PT_PSE|---projected steepest edge.\\
alpar@1
  1656
\end{tabular}
alpar@1
  1657
alpar@1
  1658
\medskip
alpar@1
  1659
alpar@1
  1660
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1661
\multicolumn{2}{@{}l}{{\tt int r\_test} (default: {\tt GLP\_RT\_HAR})}
alpar@1
  1662
\\
alpar@1
  1663
&Ratio test technique:\\
alpar@1
  1664
&\verb|GLP_RT_STD|---standard (textbook);\\
alpar@1
  1665
&\verb|GLP_RT_HAR|---Harris' two-pass ratio test.\\
alpar@1
  1666
\end{tabular}
alpar@1
  1667
alpar@1
  1668
\medskip
alpar@1
  1669
alpar@1
  1670
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1671
\multicolumn{2}{@{}l}{{\tt double tol\_bnd} (default: {\tt 1e-7})}
alpar@1
  1672
\\
alpar@1
  1673
&Tolerance used to check if the basic solution is primal feasible.
alpar@1
  1674
(Do not change this parameter without detailed understanding its
alpar@1
  1675
purpose.)\\
alpar@1
  1676
\end{tabular}
alpar@1
  1677
alpar@1
  1678
\medskip
alpar@1
  1679
alpar@1
  1680
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1681
\multicolumn{2}{@{}l}{{\tt double tol\_dj} (default: {\tt 1e-7})}
alpar@1
  1682
\\
alpar@1
  1683
&Tolerance used to check if the basic solution is dual feasible.
alpar@1
  1684
(Do not change this parameter without detailed understanding its
alpar@1
  1685
purpose.)\\
alpar@1
  1686
\end{tabular}
alpar@1
  1687
alpar@1
  1688
\medskip
alpar@1
  1689
alpar@1
  1690
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1691
\multicolumn{2}{@{}l}{{\tt double tol\_piv} (default: {\tt 1e-10})}
alpar@1
  1692
\\
alpar@1
  1693
&Tolerance used to choose eligble pivotal elements of the simplex table.
alpar@1
  1694
(Do not change this parameter without detailed understanding its
alpar@1
  1695
purpose.)\\
alpar@1
  1696
\end{tabular}
alpar@1
  1697
alpar@1
  1698
\medskip
alpar@1
  1699
alpar@1
  1700
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1701
\multicolumn{2}{@{}l}{{\tt double obj\_ll} (default: {\tt -DBL\_MAX})}
alpar@1
  1702
\\
alpar@1
  1703
&Lower limit of the objective function. If the objective function
alpar@1
  1704
reaches this limit and continues decreasing, the solver terminates the
alpar@1
  1705
search. (Used in the dual simplex only.)\\
alpar@1
  1706
\end{tabular}
alpar@1
  1707
alpar@1
  1708
\medskip
alpar@1
  1709
alpar@1
  1710
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1711
\multicolumn{2}{@{}l}{{\tt double obj\_ul} (default: {\tt +DBL\_MAX})}
alpar@1
  1712
\\
alpar@1
  1713
&Upper limit of the objective function. If the objective function
alpar@1
  1714
reaches this limit and continues increasing, the solver terminates the
alpar@1
  1715
search. (Used in the dual simplex only.)\\
alpar@1
  1716
\end{tabular}
alpar@1
  1717
alpar@1
  1718
\medskip
alpar@1
  1719
alpar@1
  1720
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1721
\multicolumn{2}{@{}l}{{\tt int it\_lim} (default: {\tt INT\_MAX})}
alpar@1
  1722
\\
alpar@1
  1723
&Simplex iteration limit.\\
alpar@1
  1724
\end{tabular}
alpar@1
  1725
alpar@1
  1726
\medskip
alpar@1
  1727
alpar@1
  1728
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1729
\multicolumn{2}{@{}l}{{\tt int tm\_lim} (default: {\tt INT\_MAX})}
alpar@1
  1730
\\
alpar@1
  1731
&Searching time limit, in milliseconds.\\
alpar@1
  1732
\end{tabular}
alpar@1
  1733
alpar@1
  1734
\medskip
alpar@1
  1735
alpar@1
  1736
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1737
\multicolumn{2}{@{}l}{{\tt int out\_frq} (default: {\tt 500})}
alpar@1
  1738
\\
alpar@1
  1739
&Output frequency, in iterations. This parameter specifies how
alpar@1
  1740
frequently the solver sends information about the solution process to
alpar@1
  1741
the terminal.\\
alpar@1
  1742
\end{tabular}
alpar@1
  1743
alpar@1
  1744
\medskip
alpar@1
  1745
alpar@1
  1746
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1747
\multicolumn{2}{@{}l}{{\tt int out\_dly} (default: {\tt 0})}
alpar@1
  1748
\\
alpar@1
  1749
&Output delay, in milliseconds. This parameter specifies how long the
alpar@1
  1750
solver should delay sending information about the solution process to
alpar@1
  1751
the terminal.\\
alpar@1
  1752
\end{tabular}
alpar@1
  1753
alpar@1
  1754
\medskip
alpar@1
  1755
alpar@1
  1756
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  1757
\multicolumn{2}{@{}l}{{\tt int presolve} (default: {\tt GLP\_OFF})}
alpar@1
  1758
\\
alpar@1
  1759
&LP presolver option:\\
alpar@1
  1760
&\verb|GLP_ON |---enable using the LP presolver;\\
alpar@1
  1761
&\verb|GLP_OFF|---disable using the LP presolver.\\
alpar@1
  1762
\end{tabular}
alpar@1
  1763
alpar@1
  1764
\subsubsection*{Example 1}
alpar@1
  1765
alpar@1
  1766
The following main program reads LP problem instance in fixed MPS
alpar@1
  1767
format from file \verb|25fv47.mps|,\footnote{This instance in fixed MPS
alpar@1
  1768
format can be found in the Netlib LP collection; see
alpar@1
  1769
{\tt ftp://ftp.netlib.org/lp/data/}.} constructs an advanced initial
alpar@1
  1770
basis, solves the instance with the primal simplex method (by default),
alpar@1
  1771
and writes the solution to file \verb|25fv47.txt|.
alpar@1
  1772
alpar@1
  1773
\newpage
alpar@1
  1774
alpar@1
  1775
\begin{footnotesize}
alpar@1
  1776
\begin{verbatim}
alpar@1
  1777
/* spxsamp1.c */
alpar@1
  1778
alpar@1
  1779
#include <stdio.h>
alpar@1
  1780
#include <stdlib.h>
alpar@1
  1781
#include <glpk.h>
alpar@1
  1782
alpar@1
  1783
int main(void)
alpar@1
  1784
{     glp_prob *P;
alpar@1
  1785
      P = glp_create_prob();
alpar@1
  1786
      glp_read_mps(P, GLP_MPS_DECK, NULL, "25fv47.mps");
alpar@1
  1787
      glp_adv_basis(P, 0);
alpar@1
  1788
      glp_simplex(P, NULL);
alpar@1
  1789
      glp_print_sol(P, "25fv47.txt");
alpar@1
  1790
      glp_delete_prob(P);
alpar@1
  1791
      return 0;
alpar@1
  1792
}
alpar@1
  1793
alpar@1
  1794
/* eof */
alpar@1
  1795
\end{verbatim}
alpar@1
  1796
\end{footnotesize}
alpar@1
  1797
alpar@1
  1798
\noindent
alpar@1
  1799
Below here is shown the terminal output from this example program.
alpar@1
  1800
alpar@1
  1801
\begin{footnotesize}
alpar@1
  1802
\begin{verbatim}
alpar@1
  1803
Reading problem data from `25fv47.mps'...
alpar@1
  1804
Problem: 25FV47
alpar@1
  1805
Objective: R0000
alpar@1
  1806
822 rows, 1571 columns, 11127 non-zeros
alpar@1
  1807
6919 records were read
alpar@1
  1808
Crashing...
alpar@1
  1809
Size of triangular part = 799
alpar@1
  1810
      0: obj =   1.627307307e+04  infeas =  5.194e+04 (23)
alpar@1
  1811
    200: obj =   1.474901610e+04  infeas =  1.233e+04 (19)
alpar@1
  1812
    400: obj =   1.343909995e+04  infeas =  3.648e+03 (13)
alpar@1
  1813
    600: obj =   1.756052217e+04  infeas =  4.179e+02 (7)
alpar@1
  1814
*   775: obj =   1.789251591e+04  infeas =  4.982e-14 (1)
alpar@1
  1815
*   800: obj =   1.663354510e+04  infeas =  2.857e-14 (1)
alpar@1
  1816
*  1000: obj =   1.024935068e+04  infeas =  1.958e-12 (1)
alpar@1
  1817
*  1200: obj =   7.860174791e+03  infeas =  2.810e-29 (1)
alpar@1
  1818
*  1400: obj =   6.642378184e+03  infeas =  2.036e-16 (1)
alpar@1
  1819
*  1600: obj =   6.037014568e+03  infeas =  0.000e+00 (1)
alpar@1
  1820
*  1800: obj =   5.662171307e+03  infeas =  6.447e-15 (1)
alpar@1
  1821
*  2000: obj =   5.528146165e+03  infeas =  9.764e-13 (1)
alpar@1
  1822
*  2125: obj =   5.501845888e+03  infeas =  0.000e+00 (1)
alpar@1
  1823
OPTIMAL SOLUTION FOUND
alpar@1
  1824
Writing basic solution to `25fv47.txt'...
alpar@1
  1825
\end{verbatim}
alpar@1
  1826
\end{footnotesize}
alpar@1
  1827
alpar@1
  1828
\newpage
alpar@1
  1829
alpar@1
  1830
\subsubsection*{Example 2}
alpar@1
  1831
alpar@1
  1832
The following main program solves the same LP problem instance as in
alpar@1
  1833
Example 1 above, however, it uses the dual simplex method, which starts
alpar@1
  1834
from the standard initial basis.
alpar@1
  1835
alpar@1
  1836
\begin{footnotesize}
alpar@1
  1837
\begin{verbatim}
alpar@1
  1838
/* spxsamp2.c */
alpar@1
  1839
alpar@1
  1840
#include <stdio.h>
alpar@1
  1841
#include <stdlib.h>
alpar@1
  1842
#include <glpk.h>
alpar@1
  1843
alpar@1
  1844
int main(void)
alpar@1
  1845
{     glp_prob *P;
alpar@1
  1846
      glp_smcp parm;
alpar@1
  1847
      P = glp_create_prob();
alpar@1
  1848
      glp_read_mps(P, GLP_MPS_DECK, NULL, "25fv47.mps");
alpar@1
  1849
      glp_init_smcp(&parm);
alpar@1
  1850
      parm.meth = GLP_DUAL;
alpar@1
  1851
      glp_simplex(P, &parm);
alpar@1
  1852
      glp_print_sol(P, "25fv47.txt");
alpar@1
  1853
      glp_delete_prob(P);
alpar@1
  1854
      return 0;
alpar@1
  1855
}
alpar@1
  1856
alpar@1
  1857
/* eof */
alpar@1
  1858
\end{verbatim}
alpar@1
  1859
\end{footnotesize}
alpar@1
  1860
alpar@1
  1861
\noindent
alpar@1
  1862
Below here is shown the terminal output from this example program.
alpar@1
  1863
alpar@1
  1864
\begin{footnotesize}
alpar@1
  1865
\begin{verbatim}
alpar@1
  1866
Reading problem data from `25fv47.mps'...
alpar@1
  1867
Problem: 25FV47
alpar@1
  1868
Objective: R0000
alpar@1
  1869
822 rows, 1571 columns, 11127 non-zeros
alpar@1
  1870
6919 records were read
alpar@1
  1871
      0:                          infeas =  1.223e+03 (516)
alpar@1
  1872
    200:                          infeas =  7.000e+00 (471)
alpar@1
  1873
    240:                          infeas =  1.106e-14 (461)
alpar@1
  1874
|   400: obj =  -5.394267152e+03  infeas =  5.571e-16 (391)
alpar@1
  1875
|   600: obj =  -4.586395752e+03  infeas =  1.389e-15 (340)
alpar@1
  1876
|   800: obj =  -4.158268146e+03  infeas =  1.640e-15 (264)
alpar@1
  1877
|  1000: obj =  -3.725320045e+03  infeas =  5.181e-15 (245)
alpar@1
  1878
|  1200: obj =  -3.104802163e+03  infeas =  1.019e-14 (210)
alpar@1
  1879
|  1400: obj =  -2.584190499e+03  infeas =  8.865e-15 (178)
alpar@1
  1880
|  1600: obj =  -2.073852927e+03  infeas =  7.867e-15 (142)
alpar@1
  1881
|  1800: obj =  -1.164037407e+03  infeas =  8.792e-15 (109)
alpar@1
  1882
|  2000: obj =  -4.370590250e+02  infeas =  2.591e-14 (85)
alpar@1
  1883
|  2200: obj =   1.068240144e+03  infeas =  1.025e-13 (70)
alpar@1
  1884
|  2400: obj =   1.607481126e+03  infeas =  3.272e-14 (67)
alpar@1
  1885
|  2600: obj =   3.038230551e+03  infeas =  4.850e-14 (52)
alpar@1
  1886
|  2800: obj =   4.316238187e+03  infeas =  2.622e-14 (36)
alpar@1
  1887
|  3000: obj =   5.443842629e+03  infeas =  3.976e-15 (11)
alpar@1
  1888
|  3060: obj =   5.501845888e+03  infeas =  8.806e-15 (2)
alpar@1
  1889
OPTIMAL SOLUTION FOUND
alpar@1
  1890
Writing basic solution to `25fv47.txt'...
alpar@1
  1891
\end{verbatim}
alpar@1
  1892
\end{footnotesize}
alpar@1
  1893
alpar@1
  1894
\subsection{glp\_exact---solve LP problem in exact arithmetic}
alpar@1
  1895
alpar@1
  1896
\subsubsection*{Synopsis}
alpar@1
  1897
alpar@1
  1898
\begin{verbatim}
alpar@1
  1899
int glp_exact(glp_prob *lp, const glp_smcp *parm);
alpar@1
  1900
\end{verbatim}
alpar@1
  1901
alpar@1
  1902
\subsubsection*{Description}
alpar@1
  1903
alpar@1
  1904
The routine \verb|glp_exact| is a tentative implementation of the
alpar@1
  1905
primal two-phase simplex method based on exact (rational) arithmetic.
alpar@1
  1906
It is similar to the routine \verb|glp_simplex|, however, for all
alpar@1
  1907
internal computations it uses arithmetic of rational numbers, which is
alpar@1
  1908
exact in mathematical sense, i.e. free of round-off errors unlike
alpar@1
  1909
floating-point arithmetic.
alpar@1
  1910
alpar@1
  1911
Note that the routine \verb|glp_exact| uses only two control parameters
alpar@1
  1912
passed in the structure \verb|glp_smcp|, namely, \verb|it_lim| and
alpar@1
  1913
\verb|tm_lim|.
alpar@1
  1914
alpar@1
  1915
\subsubsection*{Returns}
alpar@1
  1916
alpar@1
  1917
\def\arraystretch{1}
alpar@1
  1918
alpar@1
  1919
\begin{tabular}{@{}p{25mm}p{97.3mm}@{}}
alpar@1
  1920
0 & The LP problem instance has been successfully solved. (This code
alpar@1
  1921
does {\it not} necessarily mean that the solver has found optimal
alpar@1
  1922
solution. It only means that the solution process was successful.) \\
alpar@1
  1923
\verb|GLP_EBADB| & Unable to start the search, because the initial basis
alpar@1
  1924
specified in the problem object is invalid---the number of basic
alpar@1
  1925
(auxiliary and structural) variables is not the same as the number of
alpar@1
  1926
rows in the problem object.\\
alpar@1
  1927
\verb|GLP_ESING| & Unable to start the search, because the basis matrix
alpar@1
  1928
corresponding to the initial basis is exactly singular.\\
alpar@1
  1929
\verb|GLP_EBOUND| & Unable to start the search, because some
alpar@1
  1930
double-bounded (auxiliary or structural) variables have incorrect
alpar@1
  1931
bounds.\\
alpar@1
  1932
\verb|GLP_EFAIL| & The problem instance has no rows/columns.\\
alpar@1
  1933
\verb|GLP_EITLIM| & The search was prematurely terminated, because the
alpar@1
  1934
simplex iteration limit has been exceeded.\\
alpar@1
  1935
\verb|GLP_ETMLIM| & The search was prematurely terminated, because the
alpar@1
  1936
time limit has been exceeded.\\
alpar@1
  1937
\end{tabular}
alpar@1
  1938
alpar@1
  1939
\subsubsection*{Comments}
alpar@1
  1940
alpar@1
  1941
Computations in exact arithmetic are very time consuming, so solving
alpar@1
  1942
LP problem with the routine \verb|glp_exact| from the very beginning is
alpar@1
  1943
not a good idea. It is much better at first to find an optimal basis
alpar@1
  1944
with the routine \verb|glp_simplex| and only then to call
alpar@1
  1945
\verb|glp_exact|, in which case only a few simplex iterations need to
alpar@1
  1946
be performed in exact arithmetic.
alpar@1
  1947
alpar@1
  1948
\subsection{glp\_init\_smcp---initialize simplex solver control
alpar@1
  1949
parameters}
alpar@1
  1950
alpar@1
  1951
\subsubsection*{Synopsis}
alpar@1
  1952
alpar@1
  1953
\begin{verbatim}
alpar@1
  1954
int glp_init_smcp(glp_smcp *parm);
alpar@1
  1955
\end{verbatim}
alpar@1
  1956
alpar@1
  1957
\subsubsection*{Description}
alpar@1
  1958
alpar@1
  1959
The routine \verb|glp_init_smcp| initializes control parameters, which
alpar@1
  1960
are used by the simplex solver, with default values.
alpar@1
  1961
alpar@1
  1962
Default values of the control parameters are stored in a \verb|glp_smcp|
alpar@1
  1963
structure, which the parameter \verb|parm| points to.
alpar@1
  1964
alpar@1
  1965
\subsection{glp\_get\_status---determine generic status of basic
alpar@1
  1966
solution}
alpar@1
  1967
alpar@1
  1968
\subsubsection*{Synopsis}
alpar@1
  1969
alpar@1
  1970
\begin{verbatim}
alpar@1
  1971
int glp_get_status(glp_prob *lp);
alpar@1
  1972
\end{verbatim}
alpar@1
  1973
alpar@1
  1974
\subsubsection*{Returns}
alpar@1
  1975
alpar@1
  1976
The routine \verb|glp_get_status| reports the generic status of the
alpar@1
  1977
current basic solution for the specified problem object as follows:
alpar@1
  1978
alpar@1
  1979
\begin{tabular}{@{}ll}
alpar@1
  1980
\verb|GLP_OPT|    & solution is optimal; \\
alpar@1
  1981
\verb|GLP_FEAS|   & solution is feasible; \\
alpar@1
  1982
\verb|GLP_INFEAS| & solution is infeasible; \\
alpar@1
  1983
\verb|GLP_NOFEAS| & problem has no feasible solution; \\
alpar@1
  1984
\verb|GLP_UNBND|  & problem has unbounded solution; \\
alpar@1
  1985
\verb|GLP_UNDEF|  & solution is undefined. \\
alpar@1
  1986
\end{tabular}
alpar@1
  1987
alpar@1
  1988
More detailed information about the status of basic solution can be
alpar@1
  1989
retrieved with the routines \verb|glp_get_prim_stat| and
alpar@1
  1990
\verb|glp_get_dual_stat|.
alpar@1
  1991
alpar@1
  1992
\newpage
alpar@1
  1993
alpar@1
  1994
\subsection{glp\_get\_prim\_stat---retrieve status of primal basic
alpar@1
  1995
solution}
alpar@1
  1996
alpar@1
  1997
\subsubsection*{Synopsis}
alpar@1
  1998
alpar@1
  1999
\begin{verbatim}
alpar@1
  2000
int glp_get_prim_stat(glp_prob *lp);
alpar@1
  2001
\end{verbatim}
alpar@1
  2002
alpar@1
  2003
\subsubsection*{Returns}
alpar@1
  2004
alpar@1
  2005
The routine \verb|glp_get_prim_stat| reports the status of the primal
alpar@1
  2006
basic solution for the specified problem object as follows:
alpar@1
  2007
alpar@1
  2008
\begin{tabular}{@{}ll}
alpar@1
  2009
\verb|GLP_UNDEF|  & primal solution is undefined; \\
alpar@1
  2010
\verb|GLP_FEAS|   & primal solution is feasible; \\
alpar@1
  2011
\verb|GLP_INFEAS| & primal solution is infeasible; \\
alpar@1
  2012
\verb|GLP_NOFEAS| & no primal feasible solution exists. \\
alpar@1
  2013
\end{tabular}
alpar@1
  2014
alpar@1
  2015
\subsection{glp\_get\_dual\_stat---retrieve status of dual basic
alpar@1
  2016
solution}
alpar@1
  2017
alpar@1
  2018
\subsubsection*{Synopsis}
alpar@1
  2019
alpar@1
  2020
\begin{verbatim}
alpar@1
  2021
int glp_get_dual_stat(glp_prob *lp);
alpar@1
  2022
\end{verbatim}
alpar@1
  2023
alpar@1
  2024
\subsubsection*{Returns}
alpar@1
  2025
alpar@1
  2026
The routine \verb|glp_get_dual_stat| reports the status of the dual
alpar@1
  2027
basic solution for the specified problem object as follows:
alpar@1
  2028
alpar@1
  2029
\begin{tabular}{@{}ll}
alpar@1
  2030
\verb|GLP_UNDEF|  & dual solution is undefined; \\
alpar@1
  2031
\verb|GLP_FEAS|   & dual solution is feasible; \\
alpar@1
  2032
\verb|GLP_INFEAS| & dual solution is infeasible; \\
alpar@1
  2033
\verb|GLP_NOFEAS| & no dual feasible solution exists. \\
alpar@1
  2034
\end{tabular}
alpar@1
  2035
alpar@1
  2036
\subsection{glp\_get\_obj\_val---retrieve objective value}
alpar@1
  2037
alpar@1
  2038
\subsubsection*{Synopsis}
alpar@1
  2039
alpar@1
  2040
\begin{verbatim}
alpar@1
  2041
double glp_get_obj_val(glp_prob *lp);
alpar@1
  2042
\end{verbatim}
alpar@1
  2043
alpar@1
  2044
\subsubsection*{Returns}
alpar@1
  2045
alpar@1
  2046
The routine \verb|glp_get_obj_val| returns current value of the
alpar@1
  2047
objective function.
alpar@1
  2048
alpar@1
  2049
\subsection{glp\_get\_row\_stat---retrieve row status}
alpar@1
  2050
alpar@1
  2051
\subsubsection*{Synopsis}
alpar@1
  2052
alpar@1
  2053
\begin{verbatim}
alpar@1
  2054
int glp_get_row_stat(glp_prob *lp, int i);
alpar@1
  2055
\end{verbatim}
alpar@1
  2056
alpar@1
  2057
\subsubsection*{Returns}
alpar@1
  2058
alpar@1
  2059
The routine \verb|glp_get_row_stat| returns current status assigned to
alpar@1
  2060
the auxiliary variable associated with \verb|i|-th row as follows:
alpar@1
  2061
alpar@1
  2062
\begin{tabular}{@{}ll}
alpar@1
  2063
\verb|GLP_BS| & basic variable; \\
alpar@1
  2064
\verb|GLP_NL| & non-basic variable on its lower bound; \\
alpar@1
  2065
\verb|GLP_NU| & non-basic variable on its upper bound; \\
alpar@1
  2066
\verb|GLP_NF| & non-basic free (unbounded) variable; \\
alpar@1
  2067
\verb|GLP_NS| & non-basic fixed variable. \\
alpar@1
  2068
\end{tabular}
alpar@1
  2069
alpar@1
  2070
\subsection{glp\_get\_row\_prim---retrieve row primal value}
alpar@1
  2071
alpar@1
  2072
\subsubsection*{Synopsis}
alpar@1
  2073
alpar@1
  2074
\begin{verbatim}
alpar@1
  2075
double glp_get_row_prim(glp_prob *lp, int i);
alpar@1
  2076
\end{verbatim}
alpar@1
  2077
alpar@1
  2078
\subsubsection*{Returns}
alpar@1
  2079
alpar@1
  2080
The routine \verb|glp_get_row_prim| returns primal value of the
alpar@1
  2081
auxiliary variable associated with \verb|i|-th row.
alpar@1
  2082
alpar@1
  2083
\subsection{glp\_get\_row\_dual---retrieve row dual value}
alpar@1
  2084
alpar@1
  2085
\subsubsection*{Synopsis}
alpar@1
  2086
alpar@1
  2087
\begin{verbatim}
alpar@1
  2088
double glp_get_row_dual(glp_prob *lp, int i);
alpar@1
  2089
\end{verbatim}
alpar@1
  2090
alpar@1
  2091
\subsubsection*{Returns}
alpar@1
  2092
alpar@1
  2093
The routine \verb|glp_get_row_dual| returns dual value (i.e. reduced
alpar@1
  2094
cost) of the auxiliary variable associated with \verb|i|-th row.
alpar@1
  2095
alpar@1
  2096
\newpage
alpar@1
  2097
alpar@1
  2098
\subsection{glp\_get\_col\_stat---retrieve column status}
alpar@1
  2099
alpar@1
  2100
\subsubsection*{Synopsis}
alpar@1
  2101
alpar@1
  2102
\begin{verbatim}
alpar@1
  2103
int glp_get_col_stat(glp_prob *lp, int j);
alpar@1
  2104
\end{verbatim}
alpar@1
  2105
alpar@1
  2106
\subsubsection*{Returns}
alpar@1
  2107
alpar@1
  2108
The routine \verb|glp_get_col_stat| returns current status assigned to
alpar@1
  2109
the structural variable associated with \verb|j|-th column as follows:
alpar@1
  2110
alpar@1
  2111
\begin{tabular}{@{}ll}
alpar@1
  2112
\verb|GLP_BS| & basic variable; \\
alpar@1
  2113
\verb|GLP_NL| & non-basic variable on its lower bound; \\
alpar@1
  2114
\verb|GLP_NU| & non-basic variable on its upper bound; \\
alpar@1
  2115
\verb|GLP_NF| & non-basic free (unbounded) variable; \\
alpar@1
  2116
\verb|GLP_NS| & non-basic fixed variable. \\
alpar@1
  2117
\end{tabular}
alpar@1
  2118
alpar@1
  2119
\subsection{glp\_get\_col\_prim---retrieve column primal value}
alpar@1
  2120
alpar@1
  2121
\subsubsection*{Synopsis}
alpar@1
  2122
alpar@1
  2123
\begin{verbatim}
alpar@1
  2124
double glp_get_col_prim(glp_prob *lp, int j);
alpar@1
  2125
\end{verbatim}
alpar@1
  2126
alpar@1
  2127
\subsubsection*{Returns}
alpar@1
  2128
alpar@1
  2129
The routine \verb|glp_get_col_prim| returns primal value of the
alpar@1
  2130
structural variable associated with \verb|j|-th column.
alpar@1
  2131
alpar@1
  2132
\subsection{glp\_get\_col\_dual---retrieve column dual value}
alpar@1
  2133
alpar@1
  2134
\subsubsection*{Synopsis}
alpar@1
  2135
alpar@1
  2136
\begin{verbatim}
alpar@1
  2137
double glp_get_col_dual(glp_prob *lp, int j);
alpar@1
  2138
\end{verbatim}
alpar@1
  2139
alpar@1
  2140
\subsubsection*{Returns}
alpar@1
  2141
alpar@1
  2142
The routine \verb|glp_get_col_dual| returns dual value (i.e. reduced
alpar@1
  2143
cost) of the structural variable associated with \verb|j|-th column.
alpar@1
  2144
alpar@1
  2145
\newpage
alpar@1
  2146
alpar@1
  2147
\subsection{glp\_get\_unbnd\_ray---determine variable causing\\
alpar@1
  2148
unboundedness}
alpar@1
  2149
alpar@1
  2150
\subsubsection*{Synopsis}
alpar@1
  2151
alpar@1
  2152
\begin{verbatim}
alpar@1
  2153
int glp_get_unbnd_ray(glp_prob *lp);
alpar@1
  2154
\end{verbatim}
alpar@1
  2155
alpar@1
  2156
\subsubsection*{Returns}
alpar@1
  2157
alpar@1
  2158
The routine \verb|glp_get_unbnd_ray| returns the number $k$ of
alpar@1
  2159
a variable, which causes primal or dual unboundedness.
alpar@1
  2160
If $1\leq k\leq m$, it is $k$-th auxiliary variable, and if
alpar@1
  2161
$m+1\leq k\leq m+n$, it is $(k-m)$-th structural variable, where $m$ is
alpar@1
  2162
the number of rows, $n$ is the number of columns in the problem object.
alpar@1
  2163
If such variable is not defined, the routine returns 0.
alpar@1
  2164
alpar@1
  2165
\subsubsection*{Comments}
alpar@1
  2166
alpar@1
  2167
If it is not exactly known which version of the simplex solver
alpar@1
  2168
detected unboundedness, i.e. whether the unboundedness is primal or
alpar@1
  2169
dual, it is sufficient to check the status of the variable
alpar@1
  2170
with the routine \verb|glp_get_row_stat| or \verb|glp_get_col_stat|.
alpar@1
  2171
If the variable is non-basic, the unboundedness is primal, otherwise,
alpar@1
  2172
if the variable is basic, the unboundedness is dual (the latter case
alpar@1
  2173
means that the problem has no primal feasible dolution).
alpar@1
  2174
alpar@1
  2175
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  2176
alpar@1
  2177
\newpage
alpar@1
  2178
alpar@1
  2179
\section{Interior-point method routines}
alpar@1
  2180
alpar@1
  2181
{\it Interior-point methods} (also known as {\it barrier methods}) are
alpar@1
  2182
more modern and powerful numerical methods for large-scale linear
alpar@1
  2183
programming. Such methods are especially efficient for very sparse LP
alpar@1
  2184
problems and allow solving such problems much faster than the simplex
alpar@1
  2185
method.
alpar@1
  2186
alpar@1
  2187
In brief, the GLPK interior-point solver works as follows.
alpar@1
  2188
alpar@1
  2189
At first, the solver transforms the original LP to a {\it working} LP
alpar@1
  2190
in the standard format:
alpar@1
  2191
alpar@1
  2192
\medskip
alpar@1
  2193
alpar@1
  2194
\noindent
alpar@1
  2195
\hspace{.5in} minimize
alpar@1
  2196
$$z = c_1x_{m+1} + c_2x_{m+2} + \dots + c_nx_{m+n} + c_0 \eqno (2.4)$$
alpar@1
  2197
\hspace{.5in} subject to linear constraints
alpar@1
  2198
$$
alpar@1
  2199
\begin{array}{r@{\:}c@{\:}r@{\:}c@{\:}r@{\:}c@{\:}l}
alpar@1
  2200
a_{11}x_{m+1}&+&a_{12}x_{m+2}&+ \dots +&a_{1n}x_{m+n}&=&b_1 \\
alpar@1
  2201
a_{21}x_{m+1}&+&a_{22}x_{m+2}&+ \dots +&a_{2n}x_{m+n}&=&b_2 \\
alpar@1
  2202
\multicolumn{7}{c}
alpar@1
  2203
{.\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .\ \ .} \\
alpar@1
  2204
a_{m1}x_{m+1}&+&a_{m2}x_{m+2}&+ \dots +&a_{mn}x_{m+n}&=&b_m \\
alpar@1
  2205
\end{array} \eqno (2.5)
alpar@1
  2206
$$
alpar@1
  2207
\hspace{.5in} and non-negative variables
alpar@1
  2208
$$x_1\geq 0,\ \ x_2\geq 0,\ \ \dots,\ \ x_n\geq 0 \eqno(2.6)$$
alpar@1
  2209
where: $z$ is the objective function; $x_1$, \dots, $x_n$ are variables;
alpar@1
  2210
$c_1$, \dots, $c_n$ are objective coefficients; $c_0$ is a constant term
alpar@1
  2211
of the objective function;\linebreak $a_{11}$, \dots, $a_{mn}$ are
alpar@1
  2212
constraint coefficients; $b_1$, \dots, $b_m$ are right-hand sides.
alpar@1
  2213
alpar@1
  2214
Using vector and matrix notations the working LP (2.4)---(2.6) can be
alpar@1
  2215
written as follows:
alpar@1
  2216
$$z=c^Tx+c_0\ \rightarrow\ \min,\eqno(2.7)$$
alpar@1
  2217
$$Ax=b,\eqno(2.8)$$
alpar@1
  2218
$$x\geq 0,\eqno(2.9)$$
alpar@1
  2219
where: $x=(x_j)$ is $n$-vector of variables, $c=(c_j)$ is $n$-vector of
alpar@1
  2220
objective coefficients, $A=(a_{ij})$ is $m\times n$-matrix of
alpar@1
  2221
constraint coefficients, and $b=(b_i)$ is $m$-vector of right-hand
alpar@1
  2222
sides.
alpar@1
  2223
alpar@1
  2224
Karush--Kuhn--Tucker optimality conditions for LP (2.7)---(2.9) are the
alpar@1
  2225
following:
alpar@1
  2226
alpar@1
  2227
\newpage
alpar@1
  2228
alpar@1
  2229
$$Ax=b,\eqno(2.10)$$
alpar@1
  2230
$$A^T\pi+\lambda=c,\eqno(2.11)$$
alpar@1
  2231
$$\lambda^Tx=0,\eqno(2.12)$$
alpar@1
  2232
$$x\geq 0,\ \ \lambda\geq 0,\eqno(2.13)$$
alpar@1
  2233
where: $\pi$ is $m$-vector of Lagrange multipliers (dual variables) for
alpar@1
  2234
equality constraints (2.8), $\lambda$ is $n$-vector of Lagrange
alpar@1
  2235
multipliers (dual variables) for non-negativity constraints (2.9),
alpar@1
  2236
(2.10) is the primal feasibility condition, (2.11) is the dual
alpar@1
  2237
feasibility condition, (2.12) is the primal-dual complementarity
alpar@1
  2238
condition, and (2.13) is the non-negativity conditions.
alpar@1
  2239
alpar@1
  2240
The main idea of the primal-dual interior-point method is based on
alpar@1
  2241
finding a point in the primal-dual space (i.e. in the space of all
alpar@1
  2242
primal and dual variables $x$, $\pi$, and $\lambda$), which satisfies
alpar@1
  2243
to all optimality conditions (2.10)---(2.13). Obviously, $x$-component
alpar@1
  2244
of such point then provides an optimal solution to the working LP
alpar@1
  2245
(2.7)---(2.9).
alpar@1
  2246
alpar@1
  2247
To find the optimal point $(x^*,\pi^*,\lambda^*)$ the interior-point
alpar@1
  2248
method attempts to solve the system of equations (2.10)---(2.12), which
alpar@1
  2249
is closed in the sense that the number of variables $x_j$, $\pi_i$, and
alpar@1
  2250
$\lambda_j$ and the number equations are the same and equal to $m+2n$.
alpar@1
  2251
Due to condition (2.12) this system of equations is non-linear, so it
alpar@1
  2252
can be solved with a version of {\it Newton's method} provided with
alpar@1
  2253
additional rules to keep the current point within the positive orthant
alpar@1
  2254
as required by the non-negativity conditions (2.13).
alpar@1
  2255
alpar@1
  2256
Finally, once the optimal point $(x^*,\pi^*,\lambda^*)$ has been found,
alpar@1
  2257
the solver performs inverse transformations to recover corresponding
alpar@1
  2258
solution to the original LP passed to the solver from the application
alpar@1
  2259
program.
alpar@1
  2260
alpar@1
  2261
\subsection{glp\_interior---solve LP problem with the interior-point
alpar@1
  2262
method}
alpar@1
  2263
alpar@1
  2264
\subsubsection*{Synopsis}
alpar@1
  2265
alpar@1
  2266
\begin{verbatim}
alpar@1
  2267
int glp_interior(glp_prob *P, const glp_iptcp *parm);
alpar@1
  2268
\end{verbatim}
alpar@1
  2269
alpar@1
  2270
\subsubsection*{Description}
alpar@1
  2271
alpar@1
  2272
The routine \verb|glp_interior| is a driver to the LP solver based on
alpar@1
  2273
the primal-dual interior-point method. This routine retrieves problem
alpar@1
  2274
data from the specified problem object, calls the solver to solve the
alpar@1
  2275
problem instance, and stores results of computations back into the
alpar@1
  2276
problem object.
alpar@1
  2277
alpar@1
  2278
The interior-point solver has a set of control parameters. Values of
alpar@1
  2279
the control parameters can be passed in the structure \verb|glp_iptcp|,
alpar@1
  2280
which the parameter \verb|parm| points to. For detailed description of
alpar@1
  2281
this structure see paragraph ``Control parameters'' below. Before
alpar@1
  2282
specifying some control parameters the application program should
alpar@1
  2283
initialize the structure \verb|glp_iptcp| by default values of all
alpar@1
  2284
control parameters using the routine \verb|glp_init_iptcp| (see the
alpar@1
  2285
next subsection). This is needed for backward compatibility, because in
alpar@1
  2286
the future there may appear new members in the structure
alpar@1
  2287
\verb|glp_iptcp|.
alpar@1
  2288
alpar@1
  2289
The parameter \verb|parm| can be specified as \verb|NULL|, in which
alpar@1
  2290
case the solver uses default settings.
alpar@1
  2291
alpar@1
  2292
\subsubsection*{Returns}
alpar@1
  2293
alpar@1
  2294
\def\arraystretch{1}
alpar@1
  2295
alpar@1
  2296
\begin{tabular}{@{}p{25mm}p{97.3mm}@{}}
alpar@1
  2297
0 & The LP problem instance has been successfully solved. (This code
alpar@1
  2298
does {\it not} necessarily mean that the solver has found optimal
alpar@1
  2299
solution. It only means that the solution process was successful.) \\
alpar@1
  2300
\verb|GLP_EFAIL| & The problem has no rows/columns.\\
alpar@1
  2301
\verb|GLP_ENOCVG| & Very slow convergence or divergence.\\
alpar@1
  2302
\verb|GLP_EITLIM| & Iteration limit exceeded.\\
alpar@1
  2303
\verb|GLP_EINSTAB| & Numerical instability on solving Newtonian
alpar@1
  2304
system.\\
alpar@1
  2305
\end{tabular}
alpar@1
  2306
alpar@1
  2307
\subsubsection*{Comments}
alpar@1
  2308
alpar@1
  2309
The routine \verb|glp_interior| implements an easy version of
alpar@1
  2310
the primal-dual interior-point method based on Mehrotra's
alpar@1
  2311
technique.\footnote{S. Mehrotra. On the implementation of a primal-dual
alpar@1
  2312
interior point method. SIAM J. on Optim., 2(4), pp. 575-601, 1992.}
alpar@1
  2313
alpar@1
  2314
Note that currently the GLPK interior-point solver does not include
alpar@1
  2315
many important features, in particular:
alpar@1
  2316
alpar@1
  2317
$\bullet$ it is not able to process dense columns. Thus, if the
alpar@1
  2318
constraint matrix of the LP problem has dense columns, the solving
alpar@1
  2319
process may be inefficient;
alpar@1
  2320
alpar@1
  2321
$\bullet$ it has no features against numerical instability. For some
alpar@1
  2322
LP problems premature termination may happen if the matrix $ADA^T$
alpar@1
  2323
becomes singular or ill-conditioned;
alpar@1
  2324
alpar@1
  2325
$\bullet$ it is not able to identify the optimal basis, which
alpar@1
  2326
corresponds to the interior-point solution found.
alpar@1
  2327
alpar@1
  2328
\newpage
alpar@1
  2329
alpar@1
  2330
\subsubsection*{Terminal output}
alpar@1
  2331
alpar@1
  2332
Solving large LP problems may take a long time, so the solver reports
alpar@1
  2333
some information about every interior-point iteration,\footnote{Unlike
alpar@1
  2334
the simplex method the interior point method usually needs 30---50
alpar@1
  2335
iterations (independently on the problem size) in order to find an
alpar@1
  2336
optimal solution.} which is sent to the terminal. This information has
alpar@1
  2337
the following format:
alpar@1
  2338
alpar@1
  2339
\begin{verbatim}
alpar@1
  2340
nnn: obj = fff; rpi = ppp; rdi = ddd; gap = ggg
alpar@1
  2341
\end{verbatim}
alpar@1
  2342
alpar@1
  2343
\noindent where: \verb|nnn| is iteration number, \verb|fff| is the
alpar@1
  2344
current value of the objective function (in the case of maximization it
alpar@1
  2345
has wrong sign), \verb|ppp| is the current relative primal
alpar@1
  2346
infeasibility (cf. (2.10)):
alpar@1
  2347
$$\frac{\|Ax^{(k)}-b\|}{1+\|b\|},\eqno(2.14)$$
alpar@1
  2348
\verb|ddd| is the current relative dual infeasibility (cf. (2.11)):
alpar@1
  2349
$$\frac{\|A^T\pi^{(k)}+\lambda^{(k)}-c\|}{1+\|c\|},\eqno(2.15)$$
alpar@1
  2350
\verb|ggg| is the current primal-dual gap (cf. (2.12)):
alpar@1
  2351
$$\frac{|c^Tx^{(k)}-b^T\pi^{(k)}|}{1+|c^Tx^{(k)}|},\eqno(2.16)$$
alpar@1
  2352
and $[x^{(k)},\pi^{(k)},\lambda^{(k)}]$ is the current point on $k$-th
alpar@1
  2353
iteration, $k=0,1,2,\dots$\ . Note that all solution components are
alpar@1
  2354
internally scaled, so information sent to the terminal is suitable only
alpar@1
  2355
for visual inspection.
alpar@1
  2356
alpar@1
  2357
\subsubsection*{Control parameters}
alpar@1
  2358
alpar@1
  2359
This paragraph describes all control parameters currently used in the
alpar@1
  2360
interior-point solver. Symbolic names of control parameters are names of
alpar@1
  2361
corresponding members in the structure \verb|glp_iptcp|.
alpar@1
  2362
alpar@1
  2363
\medskip
alpar@1
  2364
alpar@1
  2365
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2366
\multicolumn{2}{@{}l}{{\tt int msg\_lev} (default: {\tt GLP\_MSG\_ALL})}
alpar@1
  2367
\\
alpar@1
  2368
&Message level for terminal output:\\
alpar@1
  2369
&\verb|GLP_MSG_OFF|---no output;\\
alpar@1
  2370
&\verb|GLP_MSG_ERR|---error and warning messages only;\\
alpar@1
  2371
&\verb|GLP_MSG_ON |---normal output;\\
alpar@1
  2372
&\verb|GLP_MSG_ALL|---full output (including informational messages).
alpar@1
  2373
\\
alpar@1
  2374
\end{tabular}
alpar@1
  2375
alpar@1
  2376
\medskip
alpar@1
  2377
alpar@1
  2378
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2379
\multicolumn{2}{@{}l}{{\tt int ord\_alg} (default: {\tt GLP\_ORD\_AMD})}
alpar@1
  2380
\\
alpar@1
  2381
&Ordering algorithm used prior to Cholesky factorization:\\
alpar@1
  2382
&\verb|GLP_ORD_NONE  |---use natural (original) ordering;\\
alpar@1
  2383
&\verb|GLP_ORD_QMD   |---quotient minimum degree (QMD);\\
alpar@1
  2384
&\verb|GLP_ORD_AMD   |---approximate minimum degree (AMD);\\
alpar@1
  2385
&\verb|GLP_ORD_SYMAMD|---approximate minimum degree (SYMAMD).\\
alpar@1
  2386
\end{tabular}
alpar@1
  2387
alpar@1
  2388
\subsubsection*{Example}
alpar@1
  2389
alpar@1
  2390
The following main program reads LP problem instance in fixed MPS
alpar@1
  2391
format from file \verb|25fv47.mps|,\footnote{This instance in fixed MPS
alpar@1
  2392
format can be found in the Netlib LP collection; see
alpar@1
  2393
{\tt ftp://ftp.netlib.org/lp/data/}.} solves it with the interior-point
alpar@1
  2394
solver, and writes the solution to file \verb|25fv47.txt|.
alpar@1
  2395
alpar@1
  2396
\begin{footnotesize}
alpar@1
  2397
\begin{verbatim}
alpar@1
  2398
/* iptsamp.c */
alpar@1
  2399
alpar@1
  2400
#include <stdio.h>
alpar@1
  2401
#include <stdlib.h>
alpar@1
  2402
#include <glpk.h>
alpar@1
  2403
alpar@1
  2404
int main(void)
alpar@1
  2405
{     glp_prob *P;
alpar@1
  2406
      P = glp_create_prob();
alpar@1
  2407
      glp_read_mps(P, GLP_MPS_DECK, NULL, "25fv47.mps");
alpar@1
  2408
      glp_interior(P, NULL);
alpar@1
  2409
      glp_print_ipt(P, "25fv47.txt");
alpar@1
  2410
      glp_delete_prob(P);
alpar@1
  2411
      return 0;
alpar@1
  2412
}
alpar@1
  2413
alpar@1
  2414
/* eof */
alpar@1
  2415
\end{verbatim}
alpar@1
  2416
\end{footnotesize}
alpar@1
  2417
alpar@1
  2418
\noindent
alpar@1
  2419
Below here is shown the terminal output from this example program.
alpar@1
  2420
alpar@1
  2421
\begin{footnotesize}
alpar@1
  2422
\begin{verbatim}
alpar@1
  2423
Reading problem data from `25fv47.mps'...
alpar@1
  2424
Problem: 25FV47
alpar@1
  2425
Objective: R0000
alpar@1
  2426
822 rows, 1571 columns, 11127 non-zeros
alpar@1
  2427
6919 records were read
alpar@1
  2428
Original LP has 822 row(s), 1571 column(s), and 11127 non-zero(s)
alpar@1
  2429
Working LP has 821 row(s), 1876 column(s), and 10705 non-zero(s)
alpar@1
  2430
Matrix A has 10705 non-zeros
alpar@1
  2431
Matrix S = A*A' has 11895 non-zeros (upper triangle)
alpar@1
  2432
Minimal degree ordering...
alpar@1
  2433
Computing Cholesky factorization S = L'*L...
alpar@1
  2434
Matrix L has 35411 non-zeros
alpar@1
  2435
Guessing initial point...
alpar@1
  2436
Optimization begins...
alpar@1
  2437
  0: obj =   1.823377629e+05; rpi =  1.3e+01; rdi =  1.4e+01; gap =  9.3e-01
alpar@1
  2438
  1: obj =   9.260045192e+04; rpi =  5.3e+00; rdi =  5.6e+00; gap =  6.8e+00
alpar@1
  2439
  2: obj =   3.596999742e+04; rpi =  1.5e+00; rdi =  1.2e+00; gap =  1.8e+01
alpar@1
  2440
  3: obj =   1.989627568e+04; rpi =  4.7e-01; rdi =  3.0e-01; gap =  1.9e+01
alpar@1
  2441
  4: obj =   1.430215557e+04; rpi =  1.1e-01; rdi =  8.6e-02; gap =  1.4e+01
alpar@1
  2442
  5: obj =   1.155716505e+04; rpi =  2.3e-02; rdi =  2.4e-02; gap =  6.8e+00
alpar@1
  2443
  6: obj =   9.660273208e+03; rpi =  6.7e-03; rdi =  4.6e-03; gap =  3.9e+00
alpar@1
  2444
  7: obj =   8.694348283e+03; rpi =  3.7e-03; rdi =  1.7e-03; gap =  2.0e+00
alpar@1
  2445
  8: obj =   8.019543639e+03; rpi =  2.4e-03; rdi =  3.9e-04; gap =  1.0e+00
alpar@1
  2446
  9: obj =   7.122676293e+03; rpi =  1.2e-03; rdi =  1.5e-04; gap =  6.6e-01
alpar@1
  2447
 10: obj =   6.514534518e+03; rpi =  6.1e-04; rdi =  4.3e-05; gap =  4.1e-01
alpar@1
  2448
 11: obj =   6.361572203e+03; rpi =  4.8e-04; rdi =  2.2e-05; gap =  3.0e-01
alpar@1
  2449
 12: obj =   6.203355508e+03; rpi =  3.2e-04; rdi =  1.7e-05; gap =  2.6e-01
alpar@1
  2450
 13: obj =   6.032943411e+03; rpi =  2.0e-04; rdi =  9.3e-06; gap =  2.1e-01
alpar@1
  2451
 14: obj =   5.796553021e+03; rpi =  9.8e-05; rdi =  3.2e-06; gap =  1.0e-01
alpar@1
  2452
 15: obj =   5.667032431e+03; rpi =  4.4e-05; rdi =  1.1e-06; gap =  5.6e-02
alpar@1
  2453
 16: obj =   5.613911867e+03; rpi =  2.5e-05; rdi =  4.1e-07; gap =  3.5e-02
alpar@1
  2454
 17: obj =   5.560572626e+03; rpi =  9.9e-06; rdi =  2.3e-07; gap =  2.1e-02
alpar@1
  2455
 18: obj =   5.537276001e+03; rpi =  5.5e-06; rdi =  8.4e-08; gap =  1.1e-02
alpar@1
  2456
 19: obj =   5.522746942e+03; rpi =  2.2e-06; rdi =  4.0e-08; gap =  6.7e-03
alpar@1
  2457
 20: obj =   5.509956679e+03; rpi =  7.5e-07; rdi =  1.8e-08; gap =  2.9e-03
alpar@1
  2458
 21: obj =   5.504571733e+03; rpi =  1.6e-07; rdi =  5.8e-09; gap =  1.1e-03
alpar@1
  2459
 22: obj =   5.502576367e+03; rpi =  3.4e-08; rdi =  1.0e-09; gap =  2.5e-04
alpar@1
  2460
 23: obj =   5.502057119e+03; rpi =  8.1e-09; rdi =  3.0e-10; gap =  7.7e-05
alpar@1
  2461
 24: obj =   5.501885996e+03; rpi =  9.4e-10; rdi =  1.2e-10; gap =  2.4e-05
alpar@1
  2462
 25: obj =   5.501852464e+03; rpi =  1.4e-10; rdi =  1.2e-11; gap =  3.0e-06
alpar@1
  2463
 26: obj =   5.501846549e+03; rpi =  1.4e-11; rdi =  1.2e-12; gap =  3.0e-07
alpar@1
  2464
 27: obj =   5.501845954e+03; rpi =  1.4e-12; rdi =  1.2e-13; gap =  3.0e-08
alpar@1
  2465
 28: obj =   5.501845895e+03; rpi =  1.5e-13; rdi =  1.2e-14; gap =  3.0e-09
alpar@1
  2466
OPTIMAL SOLUTION FOUND
alpar@1
  2467
Writing interior-point solution to `25fv47.txt'...
alpar@1
  2468
\end{verbatim}
alpar@1
  2469
\end{footnotesize}
alpar@1
  2470
alpar@1
  2471
\subsection{glp\_init\_iptcp---initialize interior-point solver control
alpar@1
  2472
parameters}
alpar@1
  2473
alpar@1
  2474
\subsubsection*{Synopsis}
alpar@1
  2475
alpar@1
  2476
\begin{verbatim}
alpar@1
  2477
int glp_init_iptcp(glp_iptcp *parm);
alpar@1
  2478
\end{verbatim}
alpar@1
  2479
alpar@1
  2480
\subsubsection*{Description}
alpar@1
  2481
alpar@1
  2482
The routine \verb|glp_init_iptcp| initializes control parameters, which
alpar@1
  2483
are used by the interior-point solver, with default values.
alpar@1
  2484
alpar@1
  2485
Default values of the control parameters are stored in the structure
alpar@1
  2486
\verb|glp_iptcp|, which the parameter \verb|parm| points to.
alpar@1
  2487
alpar@1
  2488
\subsection{glp\_ipt\_status---determine solution status}
alpar@1
  2489
alpar@1
  2490
\subsubsection*{Synopsis}
alpar@1
  2491
alpar@1
  2492
\begin{verbatim}
alpar@1
  2493
int glp_ipt_status(glp_prob *lp);
alpar@1
  2494
\end{verbatim}
alpar@1
  2495
alpar@1
  2496
\subsubsection*{Returns}
alpar@1
  2497
alpar@1
  2498
The routine \verb|glp_ipt_status| reports the status of a solution
alpar@1
  2499
found by the interior-point solver as follows:
alpar@1
  2500
alpar@1
  2501
\begin{tabular}{@{}p{25mm}p{91.3mm}@{}}
alpar@1
  2502
\verb|GLP_UNDEF| & interior-point solution is undefined. \\
alpar@1
  2503
\verb|GLP_OPT|   & interior-point solution is optimal. \\
alpar@1
  2504
\verb|GLP_INFEAS|& interior-point solution is infeasible. \\
alpar@1
  2505
\verb|GLP_NOFEAS|& no feasible primal-dual solution exists.\\
alpar@1
  2506
\end{tabular}
alpar@1
  2507
alpar@1
  2508
\subsection{glp\_ipt\_obj\_val---retrieve objective value}
alpar@1
  2509
alpar@1
  2510
\subsubsection*{Synopsis}
alpar@1
  2511
alpar@1
  2512
\begin{verbatim}
alpar@1
  2513
double glp_ipt_obj_val(glp_prob *lp);
alpar@1
  2514
\end{verbatim}
alpar@1
  2515
alpar@1
  2516
\subsubsection*{Returns}
alpar@1
  2517
alpar@1
  2518
The routine \verb|glp_ipt_obj_val| returns value of the objective
alpar@1
  2519
function for interior-point solution.
alpar@1
  2520
alpar@1
  2521
\subsection{glp\_ipt\_row\_prim---retrieve row primal value}
alpar@1
  2522
alpar@1
  2523
\subsubsection*{Synopsis}
alpar@1
  2524
alpar@1
  2525
\begin{verbatim}
alpar@1
  2526
double glp_ipt_row_prim(glp_prob *lp, int i);
alpar@1
  2527
\end{verbatim}
alpar@1
  2528
alpar@1
  2529
\subsubsection*{Returns}
alpar@1
  2530
alpar@1
  2531
The routine \verb|glp_ipt_row_prim| returns primal value of the
alpar@1
  2532
auxiliary variable associated with \verb|i|-th row.
alpar@1
  2533
alpar@1
  2534
\newpage
alpar@1
  2535
alpar@1
  2536
\subsection{glp\_ipt\_row\_dual---retrieve row dual value}
alpar@1
  2537
alpar@1
  2538
\subsubsection*{Synopsis}
alpar@1
  2539
alpar@1
  2540
\begin{verbatim}
alpar@1
  2541
double glp_ipt_row_dual(glp_prob *lp, int i);
alpar@1
  2542
\end{verbatim}
alpar@1
  2543
alpar@1
  2544
\subsubsection*{Returns}
alpar@1
  2545
alpar@1
  2546
The routine \verb|glp_ipt_row_dual| returns dual value (i.e. reduced
alpar@1
  2547
cost) of the auxiliary variable associated with \verb|i|-th row.
alpar@1
  2548
alpar@1
  2549
\subsection{glp\_ipt\_col\_prim---retrieve column primal value}
alpar@1
  2550
alpar@1
  2551
\subsubsection*{Synopsis}
alpar@1
  2552
alpar@1
  2553
\begin{verbatim}
alpar@1
  2554
double glp_ipt_col_prim(glp_prob *lp, int j);
alpar@1
  2555
\end{verbatim}
alpar@1
  2556
alpar@1
  2557
\subsubsection*{Returns}
alpar@1
  2558
alpar@1
  2559
The routine \verb|glp_ipt_col_prim| returns primal value of the
alpar@1
  2560
structural variable associated with \verb|j|-th column.
alpar@1
  2561
alpar@1
  2562
\subsection{glp\_ipt\_col\_dual---retrieve column dual value}
alpar@1
  2563
alpar@1
  2564
\subsubsection*{Synopsis}
alpar@1
  2565
alpar@1
  2566
\begin{verbatim}
alpar@1
  2567
double glp_ipt_col_dual(glp_prob *lp, int j);
alpar@1
  2568
\end{verbatim}
alpar@1
  2569
alpar@1
  2570
\subsubsection*{Returns}
alpar@1
  2571
alpar@1
  2572
The routine \verb|glp_ipt_col_dual| returns dual value (i.e. reduced
alpar@1
  2573
cost) of the structural variable associated with \verb|j|-th column.
alpar@1
  2574
alpar@1
  2575
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  2576
alpar@1
  2577
\newpage
alpar@1
  2578
alpar@1
  2579
\section{Mixed integer programming routines}
alpar@1
  2580
alpar@1
  2581
\subsection{glp\_set\_col\_kind---set (change) column kind}
alpar@1
  2582
alpar@1
  2583
\subsubsection*{Synopsis}
alpar@1
  2584
alpar@1
  2585
\begin{verbatim}
alpar@1
  2586
void glp_set_col_kind(glp_prob *mip, int j, int kind);
alpar@1
  2587
\end{verbatim}
alpar@1
  2588
alpar@1
  2589
\subsubsection*{Description}
alpar@1
  2590
alpar@1
  2591
The routine \verb|glp_set_col_kind| sets (changes) the kind of
alpar@1
  2592
\verb|j|-th column (structural variable) as specified by the parameter
alpar@1
  2593
\verb|kind|:
alpar@1
  2594
alpar@1
  2595
\begin{tabular}{@{}ll}
alpar@1
  2596
\verb|GLP_CV| & continuous variable; \\
alpar@1
  2597
\verb|GLP_IV| & integer variable; \\
alpar@1
  2598
\verb|GLP_BV| & binary variable. \\
alpar@1
  2599
\end{tabular}
alpar@1
  2600
alpar@1
  2601
%If a column is set to \verb|GLP_IV|, its bounds must be exact integer
alpar@1
  2602
%numbers with no tolerance, such that the condition
alpar@1
  2603
%\verb|bnd == floor(bnd)| would hold.
alpar@1
  2604
alpar@1
  2605
Setting a column to \verb|GLP_BV| has the same effect as if it were
alpar@1
  2606
set to \verb|GLP_IV|, its lower bound were set 0, and its upper bound
alpar@1
  2607
were set to 1.
alpar@1
  2608
alpar@1
  2609
\subsection{glp\_get\_col\_kind---retrieve column kind}
alpar@1
  2610
alpar@1
  2611
\subsubsection*{Synopsis}
alpar@1
  2612
alpar@1
  2613
\begin{verbatim}
alpar@1
  2614
int glp_get_col_kind(glp_prob *mip, int j);
alpar@1
  2615
\end{verbatim}
alpar@1
  2616
alpar@1
  2617
\subsubsection*{Returns}
alpar@1
  2618
alpar@1
  2619
The routine \verb|glp_get_col_kind| returns the kind of \verb|j|-th
alpar@1
  2620
column (structural variable) as follows:
alpar@1
  2621
alpar@1
  2622
\begin{tabular}{@{}ll}
alpar@1
  2623
\verb|GLP_CV| & continuous variable; \\
alpar@1
  2624
\verb|GLP_IV| & integer variable; \\
alpar@1
  2625
\verb|GLP_BV| & binary variable. \\
alpar@1
  2626
\end{tabular}
alpar@1
  2627
alpar@1
  2628
\subsection{glp\_get\_num\_int---retrieve number of integer columns}
alpar@1
  2629
alpar@1
  2630
\subsubsection*{Synopsis}
alpar@1
  2631
alpar@1
  2632
\begin{verbatim}
alpar@1
  2633
int glp_get_num_int(glp_prob *mip);
alpar@1
  2634
\end{verbatim}
alpar@1
  2635
alpar@1
  2636
\subsubsection*{Returns}
alpar@1
  2637
alpar@1
  2638
The routine \verb|glp_get_num_int| returns the number of columns
alpar@1
  2639
(structural variables), which are marked as integer. Note that this
alpar@1
  2640
number {\it does} include binary columns.
alpar@1
  2641
alpar@1
  2642
\subsection{glp\_get\_num\_bin---retrieve number of binary columns}
alpar@1
  2643
alpar@1
  2644
\subsubsection*{Synopsis}
alpar@1
  2645
alpar@1
  2646
\begin{verbatim}
alpar@1
  2647
int glp_get_num_bin(glp_prob *mip);
alpar@1
  2648
\end{verbatim}
alpar@1
  2649
alpar@1
  2650
\subsubsection*{Returns}
alpar@1
  2651
alpar@1
  2652
The routine \verb|glp_get_num_bin| returns the number of columns
alpar@1
  2653
(structural variables), which are marked as integer and whose lower
alpar@1
  2654
bound is zero and upper bound is one.
alpar@1
  2655
alpar@1
  2656
\subsection{glp\_intopt---solve MIP problem with the branch-and-cut
alpar@1
  2657
method}
alpar@1
  2658
alpar@1
  2659
\subsubsection*{Synopsis}
alpar@1
  2660
alpar@1
  2661
\begin{verbatim}
alpar@1
  2662
int glp_intopt(glp_prob *mip, const glp_iocp *parm);
alpar@1
  2663
\end{verbatim}
alpar@1
  2664
alpar@1
  2665
\subsubsection*{Description}
alpar@1
  2666
alpar@1
  2667
The routine \verb|glp_intopt| is a driver to the MIP solver based on
alpar@1
  2668
the branch-and-cut method, which is a hybrid of branch-and-bound and
alpar@1
  2669
cutting plane methods.
alpar@1
  2670
alpar@1
  2671
If the presolver is disabled (see paragraph ``Control parameters''
alpar@1
  2672
below), on entry to the routine \verb|glp_intopt| the problem object,
alpar@1
  2673
which the parameter \verb|mip| points to, should contain optimal
alpar@1
  2674
solution to LP relaxation (it can be obtained, for example, with the
alpar@1
  2675
routine \verb|glp_simplex|). Otherwise, if the presolver is enabled, it
alpar@1
  2676
is not necessary.
alpar@1
  2677
alpar@1
  2678
The MIP solver has a set of control parameters. Values of the control
alpar@1
  2679
parameters can be passed in the structure \verb|glp_iocp|, which the
alpar@1
  2680
parameter \verb|parm| points to. For detailed description of this
alpar@1
  2681
structure see paragraph ``Control parameters'' below. Before specifying
alpar@1
  2682
some control parameters the application program should initialize the
alpar@1
  2683
structure \verb|glp_iocp| by default values of all control parameters
alpar@1
  2684
using the routine \verb|glp_init_iocp| (see the next subsection). This
alpar@1
  2685
is needed for backward compatibility, because in the future there may
alpar@1
  2686
appear new members in the structure \verb|glp_iocp|.
alpar@1
  2687
alpar@1
  2688
The parameter \verb|parm| can be specified as \verb|NULL|, in which case
alpar@1
  2689
the solver uses default settings.
alpar@1
  2690
alpar@1
  2691
Note that the GLPK branch-and-cut solver is not perfect, so it is unable
alpar@1
  2692
to solve hard or very large scale MIP instances for a reasonable time.
alpar@1
  2693
alpar@1
  2694
\subsubsection*{Returns}
alpar@1
  2695
alpar@1
  2696
\def\arraystretch{1}
alpar@1
  2697
alpar@1
  2698
\begin{tabular}{@{}p{25mm}p{97.3mm}@{}}
alpar@1
  2699
0 & The MIP problem instance has been successfully solved. (This code
alpar@1
  2700
does {\it not} necessarily mean that the solver has found optimal
alpar@1
  2701
solution. It only means that the solution process was successful.) \\
alpar@1
  2702
\verb|GLP_EBOUND| & Unable to start the search, because some
alpar@1
  2703
double-bounded variables have incorrect bounds or some integer variables
alpar@1
  2704
have non-integer (fractional) bounds.\\
alpar@1
  2705
\verb|GLP_EROOT| & Unable to start the search, because optimal basis for
alpar@1
  2706
initial LP relaxation is not provided. (This code may appear only if the
alpar@1
  2707
presolver is disabled.)\\
alpar@1
  2708
\verb|GLP_ENOPFS| & Unable to start the search, because LP relaxation
alpar@1
  2709
of the MIP problem instance has no primal feasible solution. (This code
alpar@1
  2710
may appear only if the presolver is enabled.)\\
alpar@1
  2711
\verb|GLP_ENODFS| & Unable to start the search, because LP relaxation
alpar@1
  2712
of the MIP problem instance has no dual feasible solution. In other
alpar@1
  2713
word, this code means that if the LP relaxation has at least one primal
alpar@1
  2714
feasible solution, its optimal solution is unbounded, so if the MIP
alpar@1
  2715
problem has at least one integer feasible solution, its (integer)
alpar@1
  2716
optimal solution is also unbounded. (This code may appear only if the
alpar@1
  2717
presolver is enabled.)\\
alpar@1
  2718
\verb|GLP_EFAIL| & The search was prematurely terminated due to the
alpar@1
  2719
solver failure.\\
alpar@1
  2720
\verb|GLP_EMIPGAP| & The search was prematurely terminated, because the
alpar@1
  2721
relative mip gap tolerance has been reached.\\
alpar@1
  2722
\verb|GLP_ETMLIM| & The search was prematurely terminated, because the
alpar@1
  2723
time limit has been exceeded.\\
alpar@1
  2724
\verb|GLP_ESTOP| & The search was prematurely terminated by application.
alpar@1
  2725
(This code may appear only if the advanced solver interface is used.)\\
alpar@1
  2726
\end{tabular}
alpar@1
  2727
alpar@1
  2728
\subsubsection*{Built-in MIP presolver}
alpar@1
  2729
alpar@1
  2730
The branch-and-cut solver has {\it built-in MIP presolver}. It is
alpar@1
  2731
a subprogram that transforms the original MIP problem specified in the
alpar@1
  2732
problem object to an equivalent MIP problem, which may be easier for
alpar@1
  2733
solving with the branch-and-cut method than the original one. For
alpar@1
  2734
example, the presolver can remove redundant constraints and variables,
alpar@1
  2735
whose optimal values are known, perform bound and coefficient reduction,
alpar@1
  2736
etc. Once the transformed MIP problem has been solved, the presolver
alpar@1
  2737
transforms its solution back to corresponding solution of the original
alpar@1
  2738
problem.
alpar@1
  2739
alpar@1
  2740
Presolving is an optional feature of the routine \verb|glp_intopt|, and
alpar@1
  2741
by default it is disabled. In order to enable the MIP presolver, the
alpar@1
  2742
control parameter \verb|presolve| should be set to \verb|GLP_ON| (see
alpar@1
  2743
paragraph ``Control parameters'' below).
alpar@1
  2744
alpar@1
  2745
\subsubsection*{Advanced solver interface}
alpar@1
  2746
alpar@1
  2747
The routine \verb|glp_intopt| allows the user to control the
alpar@1
  2748
branch-and-cut search by passing to the solver a user-defined callback
alpar@1
  2749
routine. For more details see Chapter ``Branch-and-Cut API Routines''.
alpar@1
  2750
alpar@1
  2751
\subsubsection*{Terminal output}
alpar@1
  2752
alpar@1
  2753
Solving a MIP problem may take a long time, so the solver reports some
alpar@1
  2754
information about best known solutions, which is sent to the terminal.
alpar@1
  2755
This information has the following format:
alpar@1
  2756
alpar@1
  2757
\begin{verbatim}
alpar@1
  2758
+nnn: mip = xxx <rho> yyy gap (ppp; qqq)
alpar@1
  2759
\end{verbatim}
alpar@1
  2760
alpar@1
  2761
\noindent
alpar@1
  2762
where: `\verb|nnn|' is the simplex iteration number; `\verb|xxx|' is a
alpar@1
  2763
value of the objective function for the best known integer feasible
alpar@1
  2764
solution (if no integer feasible solution has been found yet,
alpar@1
  2765
`\verb|xxx|' is the text `\verb|not found yet|'); `\verb|rho|' is the
alpar@1
  2766
string `\verb|>=|' (in case of minimization) or `\verb|<=|' (in case of
alpar@1
  2767
maximization); `\verb|yyy|' is a global bound for exact integer optimum
alpar@1
  2768
(i.e. the exact integer optimum is always in the range from `\verb|xxx|'
alpar@1
  2769
to `\verb|yyy|'); `\verb|gap|' is the relative mip gap, in percents,
alpar@1
  2770
computed as $gap=|xxx-yyy|/(|xxx|+{\tt DBL\_EPSILON})\cdot 100\%$ (if
alpar@1
  2771
$gap$ is greater than $999.9\%$, it is not printed); `\verb|ppp|' is the
alpar@1
  2772
number of subproblems in the active list, `\verb|qqq|' is the number of
alpar@1
  2773
subproblems which have been already fathomed and therefore removed from
alpar@1
  2774
the branch-and-bound search tree.
alpar@1
  2775
alpar@1
  2776
\subsubsection{Control parameters}
alpar@1
  2777
alpar@1
  2778
This paragraph describes all control parameters currently used in the
alpar@1
  2779
MIP solver. Symbolic names of control parameters are names of
alpar@1
  2780
corresponding members in the structure \verb|glp_iocp|.
alpar@1
  2781
alpar@1
  2782
\medskip
alpar@1
  2783
alpar@1
  2784
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2785
\multicolumn{2}{@{}l}{{\tt int msg\_lev} (default: {\tt GLP\_MSG\_ALL})}
alpar@1
  2786
\\
alpar@1
  2787
&Message level for terminal output:\\
alpar@1
  2788
&\verb|GLP_MSG_OFF|---no output;\\
alpar@1
  2789
&\verb|GLP_MSG_ERR|---error and warning messages only;\\
alpar@1
  2790
&\verb|GLP_MSG_ON |---normal output;\\
alpar@1
  2791
&\verb|GLP_MSG_ALL|---full output (including informational messages).
alpar@1
  2792
\\
alpar@1
  2793
\end{tabular}
alpar@1
  2794
alpar@1
  2795
\medskip
alpar@1
  2796
alpar@1
  2797
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2798
\multicolumn{2}{@{}l}{{\tt int br\_tech} (default: {\tt GLP\_BR\_DTH})}
alpar@1
  2799
\\
alpar@1
  2800
&Branching technique option:\\
alpar@1
  2801
&\verb|GLP_BR_FFV|---first fractional variable;\\
alpar@1
  2802
&\verb|GLP_BR_LFV|---last fractional variable;\\
alpar@1
  2803
&\verb|GLP_BR_MFV|---most fractional variable;\\
alpar@1
  2804
&\verb|GLP_BR_DTH|---heuristic by Driebeck and Tomlin;\\
alpar@1
  2805
&\verb|GLP_BR_PCH|---hybrid pseudocost heuristic.\\
alpar@1
  2806
\end{tabular}
alpar@1
  2807
alpar@1
  2808
\medskip
alpar@1
  2809
alpar@1
  2810
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2811
\multicolumn{2}{@{}l}{{\tt int bt\_tech} (default: {\tt GLP\_BT\_BLB})}
alpar@1
  2812
\\
alpar@1
  2813
&Backtracking technique option:\\
alpar@1
  2814
&\verb|GLP_BT_DFS|---depth first search;\\
alpar@1
  2815
&\verb|GLP_BT_BFS|---breadth first search;\\
alpar@1
  2816
&\verb|GLP_BT_BLB|---best local bound;\\
alpar@1
  2817
&\verb|GLP_BT_BPH|---best projection heuristic.\\
alpar@1
  2818
\end{tabular}
alpar@1
  2819
alpar@1
  2820
\medskip
alpar@1
  2821
alpar@1
  2822
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2823
\multicolumn{2}{@{}l}{{\tt int pp\_tech} (default: {\tt GLP\_PP\_ALL})}
alpar@1
  2824
\\
alpar@1
  2825
&Preprocessing technique option:\\
alpar@1
  2826
&\verb|GLP_PP_NONE|---disable preprocessing;\\
alpar@1
  2827
&\verb|GLP_PP_ROOT|---perform preprocessing only on the root level;\\
alpar@1
  2828
&\verb|GLP_PP_ALL |---perform preprocessing on all levels.\\
alpar@1
  2829
\end{tabular}
alpar@1
  2830
alpar@1
  2831
\medskip
alpar@1
  2832
alpar@1
  2833
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2834
\multicolumn{2}{@{}l}{{\tt int fp\_heur} (default: {\tt GLP\_OFF})}
alpar@1
  2835
\\
alpar@1
  2836
&Feasibility pump heuristic option:\\
alpar@1
  2837
&\verb|GLP_ON |---enable applying the feasibility pump heuristic;\\
alpar@1
  2838
&\verb|GLP_OFF|---disable applying the feasibility pump heuristic.\\
alpar@1
  2839
\end{tabular}
alpar@1
  2840
alpar@1
  2841
\medskip
alpar@1
  2842
alpar@1
  2843
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2844
\multicolumn{2}{@{}l}{{\tt int gmi\_cuts} (default: {\tt GLP\_OFF})}\\
alpar@1
  2845
&Gomory's mixed integer cut option:\\
alpar@1
  2846
&\verb|GLP_ON |---enable generating Gomory's cuts;\\
alpar@1
  2847
&\verb|GLP_OFF|---disable generating Gomory's cuts.\\
alpar@1
  2848
\end{tabular}
alpar@1
  2849
alpar@1
  2850
\medskip
alpar@1
  2851
alpar@1
  2852
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2853
\multicolumn{2}{@{}l}{{\tt int mir\_cuts} (default: {\tt GLP\_OFF})}\\
alpar@1
  2854
&Mixed integer rounding (MIR) cut option:\\
alpar@1
  2855
&\verb|GLP_ON |---enable generating MIR cuts;\\
alpar@1
  2856
&\verb|GLP_OFF|---disable generating MIR cuts.\\
alpar@1
  2857
\end{tabular}
alpar@1
  2858
alpar@1
  2859
\medskip
alpar@1
  2860
alpar@1
  2861
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2862
\multicolumn{2}{@{}l}{{\tt int cov\_cuts} (default: {\tt GLP\_OFF})}\\
alpar@1
  2863
&Mixed cover cut option:\\
alpar@1
  2864
&\verb|GLP_ON |---enable generating mixed cover cuts;\\
alpar@1
  2865
&\verb|GLP_OFF|---disable generating mixed cover cuts.\\
alpar@1
  2866
\end{tabular}
alpar@1
  2867
alpar@1
  2868
\medskip
alpar@1
  2869
alpar@1
  2870
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2871
\multicolumn{2}{@{}l}{{\tt int clq\_cuts} (default: {\tt GLP\_OFF})}\\
alpar@1
  2872
&Clique cut option:\\
alpar@1
  2873
&\verb|GLP_ON |---enable generating clique cuts;\\
alpar@1
  2874
&\verb|GLP_OFF|---disable generating clique cuts.\\
alpar@1
  2875
\end{tabular}
alpar@1
  2876
alpar@1
  2877
\medskip
alpar@1
  2878
alpar@1
  2879
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2880
\multicolumn{2}{@{}l}{{\tt double tol\_int} (default: {\tt 1e-5})}\\
alpar@1
  2881
&Absolute tolerance used to check if optimal solution to the current LP
alpar@1
  2882
relaxation is integer feasible. (Do not change this parameter without
alpar@1
  2883
detailed understanding its purpose.)\\
alpar@1
  2884
\end{tabular}
alpar@1
  2885
alpar@1
  2886
\medskip
alpar@1
  2887
alpar@1
  2888
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2889
\multicolumn{2}{@{}l}{{\tt double tol\_obj} (default: {\tt 1e-7})}\\
alpar@1
  2890
&Relative tolerance used to check if the objective value in optimal
alpar@1
  2891
solution to the current LP relaxation is not better than in the best
alpar@1
  2892
known integer feasible solution. (Do not change this parameter without
alpar@1
  2893
detailed understanding its purpose.)\\
alpar@1
  2894
\end{tabular}
alpar@1
  2895
alpar@1
  2896
\medskip
alpar@1
  2897
alpar@1
  2898
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2899
\multicolumn{2}{@{}l}{{\tt double mip\_gap} (default: {\tt 0.0})}\\
alpar@1
  2900
&The relative mip gap tolerance. If the relative mip gap for currently
alpar@1
  2901
known best integer feasible solution falls below this tolerance, the
alpar@1
  2902
solver terminates the search. This allows obtainig suboptimal integer
alpar@1
  2903
feasible solutions if solving the problem to optimality takes too long
alpar@1
  2904
time.\\
alpar@1
  2905
\end{tabular}
alpar@1
  2906
alpar@1
  2907
\medskip
alpar@1
  2908
alpar@1
  2909
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2910
\multicolumn{2}{@{}l}{{\tt int tm\_lim} (default: {\tt INT\_MAX})}\\
alpar@1
  2911
&Searching time limit, in milliseconds.\\
alpar@1
  2912
\end{tabular}
alpar@1
  2913
alpar@1
  2914
\medskip
alpar@1
  2915
alpar@1
  2916
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2917
\multicolumn{2}{@{}l}{{\tt int out\_frq} (default: {\tt 5000})}\\
alpar@1
  2918
&Output frequency, in milliseconds. This parameter specifies how
alpar@1
  2919
frequently the solver sends information about the solution process to
alpar@1
  2920
the terminal.\\
alpar@1
  2921
\end{tabular}
alpar@1
  2922
alpar@1
  2923
\medskip
alpar@1
  2924
alpar@1
  2925
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2926
\multicolumn{2}{@{}l}{{\tt int out\_dly} (default: {\tt 10000})}\\
alpar@1
  2927
&Output delay, in milliseconds. This parameter specifies how long the
alpar@1
  2928
solver should delay sending information about solution of the current
alpar@1
  2929
LP relaxation with the simplex method to the terminal.\\
alpar@1
  2930
\end{tabular}
alpar@1
  2931
alpar@1
  2932
\medskip
alpar@1
  2933
alpar@1
  2934
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2935
\multicolumn{2}{@{}l}
alpar@1
  2936
{{\tt void (*cb\_func)(glp\_tree *tree, void *info)}
alpar@1
  2937
(default: {\tt NULL})}\\
alpar@1
  2938
&Entry point to the user-defined callback routine. \verb|NULL| means
alpar@1
  2939
the advanced solver interface is not used. For more details see Chapter
alpar@1
  2940
``Branch-and-Cut API Routines''.\\
alpar@1
  2941
\end{tabular}
alpar@1
  2942
alpar@1
  2943
\medskip
alpar@1
  2944
alpar@1
  2945
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2946
\multicolumn{2}{@{}l}{{\tt void *cb\_info} (default: {\tt NULL})}\\
alpar@1
  2947
&Transit pointer passed to the routine \verb|cb_func| (see above).\\
alpar@1
  2948
\end{tabular}
alpar@1
  2949
alpar@1
  2950
\medskip
alpar@1
  2951
alpar@1
  2952
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2953
\multicolumn{2}{@{}l}{{\tt int cb\_size} (default: {\tt 0})}\\
alpar@1
  2954
&The number of extra (up to 256) bytes allocated for each node of the
alpar@1
  2955
branch-and-bound tree to store application-specific data. On creating
alpar@1
  2956
a node these bytes are initialized by binary zeros.\\
alpar@1
  2957
\end{tabular}
alpar@1
  2958
alpar@1
  2959
\medskip
alpar@1
  2960
alpar@1
  2961
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2962
\multicolumn{2}{@{}l}{{\tt int presolve} (default: {\tt GLP\_OFF})}\\
alpar@1
  2963
&MIP presolver option:\\
alpar@1
  2964
&\verb|GLP_ON |---enable using the MIP presolver;\\
alpar@1
  2965
&\verb|GLP_OFF|---disable using the MIP presolver.\\
alpar@1
  2966
\end{tabular}
alpar@1
  2967
alpar@1
  2968
\medskip
alpar@1
  2969
alpar@1
  2970
\noindent\begin{tabular}{@{}p{17pt}@{}p{120.5mm}@{}}
alpar@1
  2971
\multicolumn{2}{@{}l}{{\tt int binarize} (default: {\tt GLP\_OFF})}\\
alpar@1
  2972
&Binarization option (used only if the presolver is enabled):\\
alpar@1
  2973
&\verb|GLP_ON |---replace general integer variables by binary ones;\\
alpar@1
  2974
&\verb|GLP_OFF|---do not use binarization.\\
alpar@1
  2975
\end{tabular}
alpar@1
  2976
alpar@1
  2977
\subsection{glp\_init\_iocp---initialize integer optimizer control
alpar@1
  2978
parameters}
alpar@1
  2979
alpar@1
  2980
\subsubsection*{Synopsis}
alpar@1
  2981
alpar@1
  2982
\begin{verbatim}
alpar@1
  2983
void glp_init_iocp(glp_iocp *parm);
alpar@1
  2984
\end{verbatim}
alpar@1
  2985
alpar@1
  2986
\subsubsection*{Description}
alpar@1
  2987
alpar@1
  2988
The routine \verb|glp_init_iocp| initializes control parameters, which
alpar@1
  2989
are used by the branch-and-cut solver, with default values.
alpar@1
  2990
alpar@1
  2991
Default values of the control parameters are stored in a \verb|glp_iocp|
alpar@1
  2992
structure, which the parameter \verb|parm| points to.
alpar@1
  2993
alpar@1
  2994
\subsection{glp\_mip\_status---determine status of MIP solution}
alpar@1
  2995
alpar@1
  2996
\subsubsection*{Synopsis}
alpar@1
  2997
alpar@1
  2998
\begin{verbatim}
alpar@1
  2999
int glp_mip_status(glp_prob *mip);
alpar@1
  3000
\end{verbatim}
alpar@1
  3001
alpar@1
  3002
\subsubsection*{Returns}
alpar@1
  3003
alpar@1
  3004
The routine \verb|glp_mip_status| reports the status of a MIP solution
alpar@1
  3005
found by the MIP solver as follows:
alpar@1
  3006
alpar@1
  3007
\smallskip
alpar@1
  3008
alpar@1
  3009
\begin{tabular}{@{}p{25mm}p{91.3mm}@{}}
alpar@1
  3010
\verb|GLP_UNDEF| & MIP solution is undefined. \\
alpar@1
  3011
\verb|GLP_OPT|   & MIP solution is integer optimal. \\
alpar@1
  3012
\verb|GLP_FEAS|  & MIP solution is integer feasible, however, its
alpar@1
  3013
   optimality (or non-optimality) has not been proven, perhaps due to
alpar@1
  3014
   premature termination of the search. \\
alpar@1
  3015
\end{tabular}
alpar@1
  3016
alpar@1
  3017
\begin{tabular}{@{}p{25mm}p{91.3mm}@{}}
alpar@1
  3018
\verb|GLP_NOFEAS| & problem has no integer feasible solution (proven by
alpar@1
  3019
   the solver). \\
alpar@1
  3020
\end{tabular}
alpar@1
  3021
alpar@1
  3022
\subsection{glp\_mip\_obj\_val---retrieve objective value}
alpar@1
  3023
alpar@1
  3024
\subsubsection*{Synopsis}
alpar@1
  3025
alpar@1
  3026
\begin{verbatim}
alpar@1
  3027
double glp_mip_obj_val(glp_prob *mip);
alpar@1
  3028
\end{verbatim}
alpar@1
  3029
alpar@1
  3030
\subsubsection*{Returns}
alpar@1
  3031
alpar@1
  3032
The routine \verb|glp_mip_obj_val| returns value of the objective
alpar@1
  3033
function for MIP solution.
alpar@1
  3034
alpar@1
  3035
\subsection{glp\_mip\_row\_val---retrieve row value}
alpar@1
  3036
alpar@1
  3037
\subsubsection*{Synopsis}
alpar@1
  3038
alpar@1
  3039
\begin{verbatim}
alpar@1
  3040
double glp_mip_row_val(glp_prob *mip, int i);
alpar@1
  3041
\end{verbatim}
alpar@1
  3042
alpar@1
  3043
\subsubsection*{Returns}
alpar@1
  3044
alpar@1
  3045
The routine \verb|glp_mip_row_val| returns value of the auxiliary
alpar@1
  3046
variable associated with \verb|i|-th row for MIP solution.
alpar@1
  3047
alpar@1
  3048
\subsection{glp\_mip\_col\_val---retrieve column value}
alpar@1
  3049
alpar@1
  3050
\subsubsection*{Synopsis}
alpar@1
  3051
alpar@1
  3052
\begin{verbatim}
alpar@1
  3053
double glp_mip_col_val(glp_prob *mip, int j);
alpar@1
  3054
\end{verbatim}
alpar@1
  3055
alpar@1
  3056
\subsubsection*{Returns}
alpar@1
  3057
alpar@1
  3058
The routine \verb|glp_mip_col_val| returns value of the structural
alpar@1
  3059
variable associated with \verb|j|-th column for MIP solution.
alpar@1
  3060
alpar@1
  3061
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
alpar@1
  3062
alpar@1
  3063
\newpage
alpar@1
  3064
alpar@1
  3065
\section{Additional routines}
alpar@1
  3066
alpar@1
  3067
\subsection{lpx\_check\_kkt---check Karush-Kuhn-Tucker optimality
alpar@1
  3068
conditions}
alpar@1
  3069
alpar@1
  3070
\subsubsection*{Synopsis}
alpar@1
  3071
alpar@1
  3072
\begin{verbatim}
alpar@1
  3073
void lpx_check_kkt(glp_prob *lp, int scaled, LPXKKT *kkt);
alpar@1
  3074
\end{verbatim}
alpar@1
  3075
alpar@1
  3076
\subsubsection*{Description}
alpar@1
  3077
alpar@1
  3078
The routine \verb|lpx_check_kkt| checks Karush-Kuhn-Tucker optimality
alpar@1
  3079
conditions for basic solution. It is assumed that both primal and dual
alpar@1
  3080
components of basic solution are valid.
alpar@1
  3081
alpar@1
  3082
If the parameter \verb|scaled| is zero, the optimality conditions are
alpar@1
  3083
checked for the original, unscaled LP problem. Otherwise, if the
alpar@1
  3084
parameter \verb|scaled| is non-zero, the routine checks the conditions
alpar@1
  3085
for an internally scaled LP problem.
alpar@1
  3086
alpar@1
  3087
The parameter \verb|kkt| is a pointer to the structure \verb|LPXKKT|,
alpar@1
  3088
to which the routine stores results of the check. Members of this
alpar@1
  3089
structure are shown in the table below.
alpar@1
  3090
alpar@1
  3091
\begin{table}[h]
alpar@1
  3092
\begin{center}
alpar@1
  3093
\begin{tabular}{@{}c|l|l@{}}
alpar@1
  3094
Condition & Member & Comment \\
alpar@1
  3095
\hline
alpar@1
  3096
(KKT.PE) & \verb|pe_ae_max| &
alpar@1
  3097
         Largest absolute error \\
alpar@1
  3098
         & \verb|pe_ae_row| &
alpar@1
  3099
         Number of row with largest absolute error \\
alpar@1
  3100
         & \verb|pe_re_max| &
alpar@1
  3101
         Largest relative error \\
alpar@1
  3102
         & \verb|pe_re_row| &
alpar@1
  3103
         Number of row with largest relative error \\
alpar@1
  3104
         & \verb|pe_quality| &
alpar@1
  3105
         Quality of primal solution \\
alpar@1
  3106
\hline
alpar@1
  3107
(KKT.PB) & \verb|pb_ae_max| &
alpar@1
  3108
         Largest absolute error \\
alpar@1
  3109
         & \verb|pb_ae_ind| &
alpar@1
  3110
         Number of variable with largest absolute error \\
alpar@1
  3111
         & \verb|pb_re_max| &
alpar@1
  3112
         Largest relative error \\
alpar@1
  3113
         & \verb|pb_re_ind| &
alpar@1
  3114
         Number of variable with largest relative error \\
alpar@1
  3115
         & \verb|pb_quality| &
alpar@1
  3116
         Quality of primal feasibility \\
alpar@1
  3117
\hline
alpar@1
  3118
(KKT.DE) & \verb|de_ae_max| &
alpar@1
  3119
         Largest absolute error \\
alpar@1
  3120
         & \verb|de_ae_col| &
alpar@1
  3121
         Number of column with largest absolute error \\
alpar@1
  3122
         & \verb|de_re_max| &
alpar@1
  3123
         Largest relative error \\
alpar@1
  3124
         & \verb|de_re_col| &
alpar@1
  3125
         Number of column with largest relative error \\
alpar@1
  3126
         & \verb|de_quality| &
alpar@1
  3127
         Quality of dual solution \\
alpar@1
  3128
\hline
alpar@1
  3129
(KKT.DB) & \verb|db_ae_max| &
alpar@1
  3130
         Largest absolute error \\
alpar@1
  3131
         & \verb|db_ae_ind| &
alpar@1
  3132
         Number of variable with largest absolute error \\
alpar@1
  3133
         & \verb|db_re_max| &
alpar@1
  3134
         Largest relative error \\
alpar@1
  3135
         & \verb|db_re_ind| &
alpar@1
  3136
         Number of variable with largest relative error \\
alpar@1
  3137
         & \verb|db_quality| &
alpar@1
  3138
         Quality of dual feasibility \\
alpar@1
  3139
\end{tabular}
alpar@1
  3140
\end{center}
alpar@1
  3141
\end{table}
alpar@1
  3142
alpar@1
  3143
The routine performs all computations using only components of the
alpar@1
  3144
given LP problem and the current basic solution.
alpar@1
  3145
alpar@1
  3146
\subsubsection*{Background}
alpar@1
  3147
alpar@1
  3148
The first condition checked by the routine is:
alpar@1
  3149
$$x_R - A x_S = 0, \eqno{\rm (KKT.PE)}$$
alpar@1
  3150
where $x_R$ is the subvector of auxiliary variables (rows), $x_S$ is the
alpar@1
  3151
subvector of structural variables (columns), $A$ is the constraint
alpar@1
  3152
matrix. This condition expresses the requirement that all primal
alpar@1
  3153
variables must satisfy to the system of equality constraints of the
alpar@1
  3154
original LP problem. In case of exact arithmetic this condition would be
alpar@1
  3155
satisfied for any basic solution; however, in case of inexact
alpar@1
  3156
(floating-point) arithmetic, this condition shows how accurate the
alpar@1
  3157
primal basic solution is, that depends on accuracy of a representation
alpar@1
  3158
of the basis matrix used by the simplex method routines.
alpar@1
  3159
alpar@1
  3160
The second condition checked by the routine is:
alpar@1
  3161
$$l_k \leq x_k \leq u_k {\rm \ \ \ for\ all}\ k=1,\dots,m+n,
alpar@1
  3162
\eqno{\rm (KKT.PB)}$$
alpar@1
  3163
where $x_k$ is auxiliary ($1\leq k\leq m$) or structural
alpar@1
  3164
($m+1\leq k\leq m+n$) variable, $l_k$ and $u_k$ are, respectively,
alpar@1
  3165
lower and upper bounds of the variable $x_k$ (including cases of
alpar@1
  3166
infinite bounds). This condition expresses the requirement that all
alpar@1
  3167
primal variables must satisfy to bound constraints of the original LP
alpar@1
  3168
problem. Since in case of basic solution all non-basic variables are
alpar@1
  3169
placed on their bounds, actually the condition (KKT.PB) needs to be
alpar@1
  3170
checked for basic variables only. If the primal basic solution has
alpar@1
  3171
sufficient accuracy, this condition shows primal feasibility of the
alpar@1
  3172
solution.
alpar@1
  3173
alpar@1
  3174
The third condition checked by the routine is:
alpar@1
  3175
$${\rm grad}\;Z = c = (\tilde{A})^T \pi + d,$$
alpar@1
  3176
where $Z$ is the objective function, $c$ is the vector of objective
alpar@1
  3177
coefficients, $(\tilde{A})^T$ is a matrix transposed to the expanded
alpar@1
  3178
constraint matrix $\tilde{A} = (I|-A)$, $\pi$ is a vector of Lagrange
alpar@1
  3179
multipliers that correspond to equality constraints of the original LP
alpar@1
  3180
problem, $d$ is a vector of Lagrange multipliers that correspond to
alpar@1
  3181
bound constraints for all (auxiliary and structural) variables of the
alpar@1
  3182
original LP problem. Geometrically the third condition expresses the
alpar@1
  3183
requirement that the gradient of the objective function must belong to
alpar@1
  3184
the orthogonal complement of a linear subspace defined by the equality
alpar@1
  3185
and active bound constraints, i.e. that the gradient must be a linear
alpar@1
  3186
combination of normals to the constraint planes, where Lagrange
alpar@1
  3187
multipliers $\pi$ and $d$ are coefficients of that linear combination.
alpar@1
  3188
alpar@1
  3189
To eliminate the vector $\pi$ the third condition can be rewritten as:
alpar@1
  3190
$$
alpar@1
  3191
\left(\begin{array}{@{}c@{}}I \\ -A^T\end{array}\right) \pi =
alpar@1
  3192
\left(\begin{array}{@{}c@{}}d_R \\ d_S\end{array}\right) +
alpar@1
  3193
\left(\begin{array}{@{}c@{}}c_R \\ c_S\end{array}\right),
alpar@1
  3194
$$
alpar@1
  3195
or, equivalently:
alpar@1
  3196
$$
alpar@1
  3197
\begin{array}{r@{}c@{}c}
alpar@1
  3198
\pi + d_R&\ =\ &c_R, \\
alpar@1
  3199
-A^T\pi + d_S&\ =\ &c_S. \\
alpar@1
  3200
\end{array}
alpar@1
  3201
$$
alpar@1
  3202
Then substituting the vector $\pi$ from the first equation into the
alpar@1
  3203
second one we have:
alpar@1
  3204
$$A^T (d_R - c_R) + (d_S - c_S) = 0, \eqno{\rm (KKT.DE)}$$
alpar@1
  3205
where $d_R$ is the subvector of reduced costs of auxiliary variables
alpar@1
  3206
(rows), $d_S$ is the subvector of reduced costs of structural variables
alpar@1
  3207
(columns), $c_R$ and $c_S$ are subvectors of objective coefficients at,
alpar@1
  3208
respectively, auxiliary and structural variables, $A^T$ is a matrix
alpar@1
  3209
transposed to the constraint matrix of the original LP problem. In case
alpar@1
  3210
of exact arithmetic this condition would be satisfied for any basic
alpar@1
  3211
solution; however, in case of inexact (floating-point) arithmetic, this
alpar@1
  3212
condition shows how accurate the dual basic solution is, that depends on
alpar@1
  3213
accuracy of a representation of the basis matrix used by the simplex
alpar@1
  3214
method routines.
alpar@1
  3215
alpar@1
  3216
The last, fourth condition checked by the routine is (KKT.DB):
alpar@1
  3217
alpar@1
  3218
\medskip
alpar@1
  3219
alpar@1
  3220
\begin{tabular}{r@{}c@{}ll}
alpar@1
  3221
&$\ d_k\ $& $=0,$&if $x_k$ is basic or free non-basic variable \\
alpar@1
  3222
$0\leq$&$\ d_k\ $&$<+\infty$&if $x_k$ is non-basic on its lower
alpar@1
  3223
(minimization) \\
alpar@1
  3224
&&&or upper (maximization) bound \\
alpar@1
  3225
$-\infty<$&$\ d_k\ $&$\leq 0$&if $x_k$ is non-basic on its upper
alpar@1
  3226
(minimization) \\
alpar@1
  3227
&&&or lower (maximization) bound \\
alpar@1
  3228
$-\infty<$&$\ d_k\ $&$<+\infty$&if $x_k$ is non-basic fixed variable \\
alpar@1
  3229
\end{tabular}
alpar@1
  3230
alpar@1
  3231
\medskip
alpar@1
  3232
alpar@1
  3233
\noindent
alpar@1
  3234
for all $k=1,\dots,m+n$, where $d_k$ is a reduced cost (Lagrange
alpar@1
  3235
multiplier) of auxiliary ($1\leq k\leq m$) or structural
alpar@1
  3236
($m+1\leq k\leq m+n$) variable $x_k$. Geometrically this condition
alpar@1
  3237
expresses the requirement that constraints of the original problem must
alpar@1
  3238
"hold" the point preventing its movement along the anti-gradient (in
alpar@1
  3239
case of minimization) or the gradient (in case of maximization) of the
alpar@1
  3240
objective function. Since in case of basic solution reduced costs of
alpar@1
  3241
all basic variables are placed on their (zero) bounds, actually the
alpar@1
  3242
condition (KKT.DB) needs to be checked for non-basic variables only.
alpar@1
  3243
If the dual basic solution has sufficient accuracy, this condition shows
alpar@1
  3244
dual feasibility of the solution.
alpar@1
  3245
alpar@1
  3246
Should note that the complete set of Karush-Kuhn-Tucker optimality
alpar@1
  3247
conditions also includes the fifth, so called complementary slackness
alpar@1
  3248
condition, which expresses the requirement that at least either a primal
alpar@1
  3249
variable $x_k$ or its dual counterpart $d_k$ must be on its bound for
alpar@1
  3250
all $k=1,\dots,m+n$. However, being always satisfied by definition for
alpar@1
  3251
any basic solution that condition is not checked by the routine.
alpar@1
  3252
alpar@1
  3253
To check the first condition (KKT.PE) the routine computes a vector of
alpar@1
  3254
residuals:
alpar@1
  3255
$$g = x_R - A x_S,$$
alpar@1
  3256
determines component of this vector that correspond to largest absolute
alpar@1
  3257
and relative errors:
alpar@1
  3258
alpar@1
  3259
\medskip
alpar@1
  3260
alpar@1
  3261
\hspace{30mm}
alpar@1
  3262
\verb|pe_ae_max| $\displaystyle{= \max_{1\leq i\leq m}|g_i|}$,
alpar@1
  3263
alpar@1
  3264
\medskip
alpar@1
  3265
alpar@1
  3266
\hspace{30mm}
alpar@1
  3267
\verb|pe_re_max| $\displaystyle{= \max_{1\leq i\leq m}
alpar@1
  3268
\frac{|g_i|}{1+|(x_R)_i|}}$,
alpar@1
  3269
alpar@1
  3270
\medskip
alpar@1
  3271
alpar@1
  3272
\noindent
alpar@1
  3273
and stores these quantities and corresponding row indices to the
alpar@1
  3274
structure \verb|LPXKKT|.
alpar@1
  3275
alpar@1
  3276
To check the second condition (KKT.PB) the routine computes a vector
alpar@1
  3277
of residuals:
alpar@1
  3278
$$
alpar@1
  3279
h_k = \left\{
alpar@1
  3280
\begin{array}{ll}
alpar@1
  3281
0,         & {\rm if}\ l_k \leq x_k \leq u_k \\
alpar@1
  3282
x_k - l_k, & {\rm if}\ x_k < l_k \\
alpar@1
  3283
x_k - u_k, & {\rm if}\ x_k > u_k \\
alpar@1
  3284
\end{array}
alpar@1
  3285
\right.
alpar@1
  3286
$$
alpar@1
  3287
for all $k=1,\dots,m+n$, determines components of this vector that
alpar@1
  3288
correspond to largest absolute and relative errors:
alpar@1
  3289
alpar@1
  3290
\medskip
alpar@1
  3291
alpar@1
  3292
\hspace{30mm}
alpar@1
  3293
\verb|pb_ae_max| $\displaystyle{= \max_{1\leq k \leq m+n}|h_k|}$,
alpar@1
  3294
alpar@1
  3295
\medskip
alpar@1
  3296
alpar@1
  3297
\hspace{30mm}
alpar@1
  3298
\verb|pb_re_max| $\displaystyle{= \max_{1\leq k \leq m+n}
alpar@1
  3299
\frac{|h_k|}{1+|x_k|}}$,
alpar@1
  3300
alpar@1
  3301
\medskip
alpar@1
  3302
alpar@1
  3303
\noindent
alpar@1
  3304
and stores these quantities and corresponding variable indices to the
alpar@1
  3305
structure \verb|LPXKKT|.
alpar@1
  3306
alpar@1
  3307
To check the third condition (KKT.DE) the routine computes a vector of
alpar@1
  3308
residuals:
alpar@1
  3309
$$u = A^T (d_R - c_R) + (d_S - c_S),$$
alpar@1
  3310
determines components of this vector that correspond to largest
alpar@1
  3311
absolute and relative errors:
alpar@1
  3312
alpar@1
  3313
\medskip
alpar@1
  3314
alpar@1
  3315
\hspace{30mm}
alpar@1
  3316
\verb|de_ae_max| $\displaystyle{= \max_{1\leq j\leq n}|u_j|}$,
alpar@1
  3317
alpar@1
  3318
\medskip
alpar@1
  3319
alpar@1
  3320
\hspace{30mm}
alpar@1
  3321
\verb|de_re_max| $\displaystyle{= \max_{1\leq j\leq n}
alpar@1
  3322
\frac{|u_j|}{1+|(d_S)_j - (c_S)_j|}}$,
alpar@1
  3323
alpar@1
  3324
\medskip
alpar@1
  3325
alpar@1
  3326
\noindent
alpar@1
  3327
and stores these quantities and corresponding column indices to the
alpar@1
  3328
structure \verb|LPXKKT|.
alpar@1
  3329
alpar@1
  3330
To check the fourth condition (KKT.DB) the routine computes a vector
alpar@1
  3331
of residuals:
alpar@1
  3332
alpar@1
  3333
$$
alpar@1
  3334
v_k = \left\{
alpar@1
  3335
\begin{array}{ll}
alpar@1
  3336
0,         & {\rm if}\ d_k\ {\rm has\ correct\ sign} \\
alpar@1
  3337
d_k,       & {\rm if}\ d_k\ {\rm has\ wrong\ sign} \\
alpar@1
  3338
\end{array}
alpar@1
  3339
\right.
alpar@1
  3340
$$
alpar@1
  3341
for all $k=1,\dots,m+n$, determines components of this vector that
alpar@1
  3342
correspond to largest absolute and relative errors:
alpar@1
  3343
alpar@1
  3344
\medskip
alpar@1
  3345
alpar@1
  3346
\hspace{30mm}
alpar@1
  3347
\verb|db_ae_max| $\displaystyle{= \max_{1\leq k\leq m+n}|v_k|}$,
alpar@1
  3348
alpar@1
  3349
\medskip
alpar@1
  3350
alpar@1
  3351
\hspace{30mm}
alpar@1
  3352
\verb|db_re_max| $\displaystyle{= \max_{1\leq k\leq m+n}
alpar@1
  3353
\frac{|v_k|}{1+|d_k - c_k|}}$,
alpar@1
  3354
alpar@1
  3355
\medskip
alpar@1
  3356
alpar@1
  3357
\noindent
alpar@1
  3358
and stores these quantities and corresponding variable indices to the
alpar@1
  3359
structure \verb|LPXKKT|.
alpar@1
  3360
alpar@1
  3361
Using the relative errors for all the four conditions listed above the
alpar@1
  3362
routine
alpar@1
  3363
\verb|lpx_check_kkt| also estimates a "quality" of the basic solution
alpar@1
  3364
from the standpoint of these conditions and stores corresponding
alpar@1
  3365
quality indicators to the structure \verb|LPXKKT|:
alpar@1
  3366
alpar@1
  3367
\verb|pe_quality|---quality of primal solution;
alpar@1
  3368
alpar@1
  3369
\verb|pb_quality|---quality of primal feasibility;
alpar@1
  3370
alpar@1
  3371
\verb|de_quality|---quality of dual solution;
alpar@1
  3372
alpar@1
  3373
\verb|db_quality|---quality of dual feasibility.
alpar@1
  3374
alpar@1
  3375
Each of these indicators is assigned to one of the following four
alpar@1
  3376
values:
alpar@1
  3377
alpar@1
  3378
\verb|'H'| means high quality,
alpar@1
  3379
alpar@1
  3380
\verb|'M'| means medium quality,
alpar@1
  3381
alpar@1
  3382
\verb|'L'| means low quality, or
alpar@1
  3383
alpar@1
  3384
\verb|'?'| means wrong or infeasible solution.
alpar@1
  3385
alpar@1
  3386
If all the indicators show high or medium quality (for an internally
alpar@1
  3387
scaled LP problem, i.e. when the parameter \verb|scaled| in a call to
alpar@1
  3388
the routine \verb|lpx_check_kkt| is non-zero), the user can be sure that
alpar@1
  3389
the obtained basic solution is quite accurate.
alpar@1
  3390
alpar@1
  3391
If some of the indicators show low quality, the solution can still be
alpar@1
  3392
considered as relevant, though an additional analysis is needed
alpar@1
  3393
depending on which indicator shows low quality.
alpar@1
  3394
alpar@1
  3395
If the indicator \verb|pe_quality| is assigned to \verb|'?'|, the
alpar@1
  3396
primal solution is wrong. If the indicator \verb|de_quality| is assigned
alpar@1
  3397
to \verb|'?'|, the dual solution is wrong.
alpar@1
  3398
alpar@1
  3399
If the indicator \verb|db_quality| is assigned to \verb|'?'| while
alpar@1
  3400
other indicators show a good quality, this means that the current
alpar@1
  3401
basic solution being primal feasible is not dual feasible. Similarly,
alpar@1
  3402
if the indicator \verb|pb_quality| is assigned to \verb|'?'| while
alpar@1
  3403
other indicators are not, this means that the current basic solution
alpar@1
  3404
being dual feasible is not primal feasible.
alpar@1
  3405
alpar@1
  3406
%* eof *%