Package org.drip.optimization.canonical

Class LinearProgram

java.lang.Object

org.drip.optimization.canonical.LinearProgram

public class LinearProgram
extends java.lang.Object

LinearProgram holds the Objective and the Constraint Terms of an Linear Program. The References are:

• Burdet, C. A., and E. L. Johnson (1977): A Sub-additive Approach to Solve Linear Integer Programs Annals of Discrete Mathematics 1 117-143
• Chvatal, V. (1973): Edmonds Polytopes in a Hierarchy of Combinatorial Problems Discrete Mathematics 4 (4) 305-337
• Gomory, R. E. (1958): Outline of an Algorithm for Integer Solutions to Linear Programs Bulletin of the American Mathematical Society 64 (5) 275-278
• Kelley, J. E. (1960): The Cutting Plane Method for Solving Convex Problems Journal for the Society of the Industrial and Applied Mathematics 8 (4) 703-712
• Letchford, A. N. and A. Lodi (2002): Strengthening Chvatal-Gomory Cuts and Gomory Fractional Cuts Operations Research Letters 30 (2) 74-82

• Module = Computational Core Module
• Library = Numerical Optimizer Library
• Project = Necessary, Sufficient, and Regularity Checks for Gradient Descent and LP/MILP/MINLP Schemes
• Package = Linear Programming Framework Canonical Elements

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LinearProgram(LinearObjective objective, LinearConstraint constraint)	LinearProgram Constructor

Method Summary

Modifier and Type	Method	Description
LinearConstraint	constraint()	Retrieve the Constraint Term
static LinearProgram	ILP(LinearObjective objective, ILPConstraint ilpConstraint)	Construct an ILP Instance of LinearProgram
static LinearProgram	LP(LinearObjective objective, LPConstraint lpConstraint)	Construct an LP Instance of LinearProgram
LinearObjective	objective()	Retrieve the Objective Term

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

LinearProgram

public LinearProgram(LinearObjective objective,
LinearConstraint constraint)
              throws java.lang.Exception

LinearProgram Constructor

Parameters:

objective - The Objective Term

constraint - The Constraint Term

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

LP

public static final LinearProgram LP(LinearObjective objective,
LPConstraint lpConstraint)

Construct an LP Instance of LinearProgram

Parameters:

objective - The Objective Term

lpConstraint - The LP Constraint Term

Returns:

LP Instance of LinearProgram

ILP

public static final LinearProgram ILP(LinearObjective objective,
ILPConstraint ilpConstraint)

Construct an ILP Instance of LinearProgram

Parameters:

objective - The Objective Term

ilpConstraint - The ILP Constraint Term

Returns:

ILP Instance of LinearProgram

objective

public LinearObjective objective()

Retrieve the Objective Term

Returns:

The Objective Term

constraint

public LinearConstraint constraint()

Retrieve the Constraint Term

Returns:

The Constraint Term