"""Tools for optimizing a linear function for a given simplex. For the linear objective function ``f`` with linear constraints expressed using `Le`, `Ge` or `Eq` can be found with ``lpmin`` or ``lpmax``. The symbols are **unbounded** unless specifically constrained. As an alternative, the matrices describing the objective and the constraints, and an optional list of bounds can be passed to ``linprog`` which will solve for the minimization of ``C*x`` under constraints ``A*x <= b`` and/or ``Aeq*x = beq``, and individual bounds for variables given as ``(lo, hi)``. The values returned are **nonnegative** unless bounds are provided that indicate otherwise. Errors that might be raised are UnboundedLPError when there is no finite solution for the system or InfeasibleLPError when the constraints represent impossible conditions (i.e. a non-existant simplex). Here is a simple 1-D system: minimize `x` given that ``x >= 1``. >>> from sympy.solvers.simplex import lpmin, linprog >>> from sympy.abc import x The function and a list with the constraint is passed directly to `lpmin`: >>> lpmin(x, [x >= 1]) (1, {x: 1}) For `linprog` the matrix for the objective is `[1]` and the uivariate constraint can be passed as a bound with None acting as infinity: >>> linprog([1], bounds=(1, None)) (1, [1]) Or the matrices, corresponding to ``x >= 1`` expressed as ``-x <= -1`` as required by the routine, can be passed: >>> linprog([1], [-1], [-1]) (1, [1]) If there is no limit for the objective, an error is raised. In this case there is a valid region of interest (simplex) but no limit to how small ``x`` can be: >>> lpmin(x, []) Traceback (most recent call last): ... sympy.solvers.simplex.UnboundedLPError: Objective function can assume arbitrarily large values! An error is raised if there is no possible solution: >>> lpmin(x,[x<=1,x>=2]) Traceback (most recent call last): ... sympy.solvers.simplex.InfeasibleLPError: Inconsistent/False constraint """ from sympy.core import sympify from sympy.core.exprtools import factor_terms from sympy.core.relational import Le, Ge, Eq from sympy.core.singleton import S from sympy.core.symbol import Dummy from sympy.core.sorting import ordered from sympy.functions.elementary.complexes import sign from sympy.matrices.dense import Matrix, zeros from sympy.solvers.solveset import linear_eq_to_matrix from sympy.utilities.iterables import numbered_symbols from sympy.utilities.misc import filldedent class UnboundedLPError(Exception): """ A linear programing problem is said to be unbounded if its objective function can assume arbitrarily large values. Example ======= Suppose you want to maximize 2x subject to x >= 0 There's no upper limit that 2x can take. """ pass class InfeasibleLPError(Exception): """ A linear programing problem is considered infeasible if its constraint set is empty. That is, if the set of all vectors satisfying the contraints is empty, then the problem is infeasible. Example ======= Suppose you want to maximize x subject to x >= 10 x <= 9 No x can satisfy those constraints. """ pass def _pivot(M, i, j): """ The pivot element `M[i, j]` is inverted and the rest of the matrix modified and returned as a new matrix; original is left unmodified. Example ======= >>> from sympy.matrices.dense import Matrix >>> from sympy.solvers.simplex import _pivot >>> from sympy import var >>> Matrix(3, 3, var('a:i')) Matrix([ [a, b, c], [d, e, f], [g, h, i]]) >>> _pivot(_, 1, 0) Matrix([ [-a/d, -a*e/d + b, -a*f/d + c], [ 1/d, e/d, f/d], [-g/d, h - e*g/d, i - f*g/d]]) """ Mi, Mj, Mij = M[i, :], M[:, j], M[i, j] if Mij == 0: raise ZeroDivisionError( "Tried to pivot about zero-valued entry.") A = M - Mj * (Mi / Mij) A[i, :] = Mi / Mij A[:, j] = -Mj / Mij A[i, j] = 1 / Mij return A def _choose_pivot_row(A, B, candidate_rows, pivot_col, Y): # Choose row with smallest ratio # If there are ties, pick using Bland's rule return min(candidate_rows, key=lambda i: (B[i] / A[i, pivot_col], Y[i])) def _simplex(A, B, C, D=None, dual=False): """Return ``(o, x, y)`` obtained from the two-phase simplex method using Bland's rule: ``o`` is the minimum value of primal, ``Cx - D``, under constraints ``Ax <= B`` (with ``x >= 0``) and the maximum of the dual, ``y^{T}B - D``, under constraints ``A^{T}*y >= C^{T}`` (with ``y >= 0``). To compute the dual of the system, pass `dual=True` and ``(o, y, x)`` will be returned. Note: the nonnegative constraints for ``x`` and ``y`` supercede any values of ``A`` and ``B`` that are inconsistent with that assumption, so if a constraint of ``x >= -1`` is represented in ``A`` and ``B``, no value will be obtained that is negative; if a constraint of ``x <= -1`` is represented, an error will be raised since no solution is possible. This routine relies on the ability of determining whether an expression is 0 or not. This is guaranteed if the input contains only Float or Rational entries. It will raise a TypeError if a relationship does not evaluate to True or False. Examples ======== >>> from sympy.solvers.simplex import _simplex >>> from sympy import Matrix Consider the simple minimization of ``f = x + y + 1`` under the constraint that ``y + 2*x >= 4``. This is the "standard form" of a minimization. In the nonnegative quadrant, this inequality describes a area above a triangle with vertices at (0, 4), (0, 0) and (2, 0). The minimum of ``f`` occurs at (2, 0). Define A, B, C, D for the standard minimization: >>> A = Matrix([[2, 1]]) >>> B = Matrix([4]) >>> C = Matrix([[1, 1]]) >>> D = Matrix([-1]) Confirm that this is the system of interest: >>> from sympy.abc import x, y >>> X = Matrix([x, y]) >>> (C*X - D)[0] x + y + 1 >>> [i >= j for i, j in zip(A*X, B)] [2*x + y >= 4] Since `_simplex` will do a minimization for constraints given as ``A*x <= B``, the signs of ``A`` and ``B`` must be negated since the currently correspond to a greater-than inequality: >>> _simplex(-A, -B, C, D) (3, [2, 0], [1/2]) The dual of minimizing ``f`` is maximizing ``F = c*y - d`` for ``a*y <= b`` where ``a``, ``b``, ``c``, ``d`` are derived from the transpose of the matrix representation of the standard minimization: >>> tr = lambda a, b, c, d: [i.T for i in (a, c, b, d)] >>> a, b, c, d = tr(A, B, C, D) This time ``a*x <= b`` is the expected inequality for the `_simplex` method, but to maximize ``F``, the sign of ``c`` and ``d`` must be changed (so that minimizing the negative will give the negative of the maximum of ``F``): >>> _simplex(a, b, -c, -d) (-3, [1/2], [2, 0]) The negative of ``F`` and the min of ``f`` are the same. The dual point `[1/2]` is the value of ``y`` that minimized ``F = c*y - d`` under constraints a*x <= b``: >>> y = Matrix(['y']) >>> (c*y - d)[0] 4*y + 1 >>> [i <= j for i, j in zip(a*y,b)] [2*y <= 1, y <= 1] In this 1-dimensional dual system, the more restrictive contraint is the first which limits ``y`` between 0 and 1/2 and the maximum of ``F`` is attained at the nonzero value, hence is ``4*(1/2) + 1 = 3``. In this case the values for ``x`` and ``y`` were the same when the dual representation was solved. This is not always the case (though the value of the function will be the same). >>> l = [[1, 1], [-1, 1], [0, 1], [-1, 0]], [5, 1, 2, -1], [[1, 1]], [-1] >>> A, B, C, D = [Matrix(i) for i in l] >>> _simplex(A, B, -C, -D) (-6, [3, 2], [1, 0, 0, 0]) >>> _simplex(A, B, -C, -D, dual=True) # [5, 0] != [3, 2] (-6, [1, 0, 0, 0], [5, 0]) In both cases the function has the same value: >>> Matrix(C)*Matrix([3, 2]) == Matrix(C)*Matrix([5, 0]) True See Also ======== _lp - poses min/max problem in form compatible with _simplex lpmin - minimization which calls _lp lpmax - maximimzation which calls _lp References ========== .. [1] Thomas S. Ferguson, LINEAR PROGRAMMING: A Concise Introduction web.tecnico.ulisboa.pt/mcasquilho/acad/or/ftp/FergusonUCLA_lp.pdf """ A, B, C, D = [Matrix(i) for i in (A, B, C, D or [0])] if dual: _o, d, p = _simplex(-A.T, C.T, B.T, -D) return -_o, d, p if A and B: M = Matrix([[A, B], [C, D]]) else: if A or B: raise ValueError("must give A and B") # no constraints given M = Matrix([[C, D]]) n = M.cols - 1 m = M.rows - 1 if not all(i.is_Float or i.is_Rational for i in M): # with literal Float and Rational we are guaranteed the # ability of determining whether an expression is 0 or not raise TypeError(filldedent(""" Only rationals and floats are allowed. """ ) ) # x variables have priority over y variables during Bland's rule # since False < True X = [(False, j) for j in range(n)] Y = [(True, i) for i in range(m)] # Phase 1: find a feasible solution or determine none exist ## keep track of last pivot row and column last = None while True: B = M[:-1, -1] A = M[:-1, :-1] if all(B[i] >= 0 for i in range(B.rows)): # We have found a feasible solution break # Find k: first row with a negative rightmost entry for k in range(B.rows): if B[k] < 0: break # use current value of k below else: pass # error will raise below # Choose pivot column, c piv_cols = [_ for _ in range(A.cols) if A[k, _] < 0] if not piv_cols: raise InfeasibleLPError(filldedent(""" The constraint set is empty!""")) _, c = min((X[i], i) for i in piv_cols) # Bland's rule # Choose pivot row, r piv_rows = [_ for _ in range(A.rows) if A[_, c] > 0 and B[_] > 0] piv_rows.append(k) r = _choose_pivot_row(A, B, piv_rows, c, Y) # check for oscillation if (r, c) == last: # Not sure what to do here; it looks like there will be # oscillations; see o1 test added at this commit to # see a system with no solution and the o2 for one # with a solution. In the case of o2, the solution # from linprog is the same as the one from lpmin, but # the matrices created in the lpmin case are different # than those created without replacements in linprog and # the matrices in the linprog case lead to oscillations. # If the matrices could be re-written in linprog like # lpmin does, this behavior could be avoided and then # perhaps the oscillating case would only occur when # there is no solution. For now, the output is checked # before exit if oscillations were detected and an # error is raised there if the solution was invalid. # # cf section 6 of Ferguson for a non-cycling modification last = True break last = r, c M = _pivot(M, r, c) X[c], Y[r] = Y[r], X[c] # Phase 2: from a feasible solution, pivot to optimal while True: B = M[:-1, -1] A = M[:-1, :-1] C = M[-1, :-1] # Choose a pivot column, c piv_cols = [] piv_cols = [_ for _ in range(n) if C[_] < 0] if not piv_cols: break _, c = min((X[i], i) for i in piv_cols) # Bland's rule # Choose a pivot row, r piv_rows = [_ for _ in range(m) if A[_, c] > 0] if not piv_rows: raise UnboundedLPError(filldedent(""" Objective function can assume arbitrarily large values!""")) r = _choose_pivot_row(A, B, piv_rows, c, Y) M = _pivot(M, r, c) X[c], Y[r] = Y[r], X[c] argmax = [None] * n argmin_dual = [None] * m for i, (v, n) in enumerate(X): if v == False: argmax[n] = 0 else: argmin_dual[n] = M[-1, i] for i, (v, n) in enumerate(Y): if v == True: argmin_dual[n] = 0 else: argmax[n] = M[i, -1] if last and not all(i >= 0 for i in argmax + argmin_dual): raise InfeasibleLPError(filldedent(""" Oscillating system led to invalid solution. If you believe there was a valid solution, please report this as a bug.""")) return -M[-1, -1], argmax, argmin_dual ## routines that use _simplex or support those that do def _abcd(M, list=False): """return parts of M as matrices or lists Examples ======== >>> from sympy import Matrix >>> from sympy.solvers.simplex import _abcd >>> m = Matrix(3, 3, range(9)); m Matrix([ [0, 1, 2], [3, 4, 5], [6, 7, 8]]) >>> a, b, c, d = _abcd(m) >>> a Matrix([ [0, 1], [3, 4]]) >>> b Matrix([ [2], [5]]) >>> c Matrix([[6, 7]]) >>> d Matrix([[8]]) The matrices can be returned as compact lists, too: >>> L = a, b, c, d = _abcd(m, list=True); L ([[0, 1], [3, 4]], [2, 5], [[6, 7]], [8]) """ def aslist(i): l = i.tolist() if len(l[0]) == 1: # col vector return [i[0] for i in l] return l m = M[:-1, :-1], M[:-1, -1], M[-1, :-1], M[-1:, -1:] if not list: return m return tuple([aslist(i) for i in m]) def _m(a, b, c, d=None): """return Matrix([[a, b], [c, d]]) from matrices in Matrix or list form. Examples ======== >>> from sympy import Matrix >>> from sympy.solvers.simplex import _abcd, _m >>> m = Matrix(3, 3, range(9)) >>> L = _abcd(m, list=True); L ([[0, 1], [3, 4]], [2, 5], [[6, 7]], [8]) >>> _abcd(m) (Matrix([ [0, 1], [3, 4]]), Matrix([ [2], [5]]), Matrix([[6, 7]]), Matrix([[8]])) >>> assert m == _m(*L) == _m(*_) """ a, b, c, d = [Matrix(i) for i in (a, b, c, d or [0])] return Matrix([[a, b], [c, d]]) def _primal_dual(M, factor=True): """return primal and dual function and constraints assuming that ``M = Matrix([[A, b], [c, d]])`` and the function ``c*x - d`` is being minimized with ``Ax >= b`` for nonnegative values of ``x``. The dual and its constraints will be for maximizing `b.T*y - d` subject to ``A.T*y <= c.T``. Examples ======== >>> from sympy.solvers.simplex import _primal_dual, lpmin, lpmax >>> from sympy import Matrix The following matrix represents the primal task of minimizing x + y + 7 for y >= x + 1 and y >= -2*x + 3. The dual task seeks to maximize x + 3*y + 7 with 2*y - x <= 1 and and x + y <= 1: >>> M = Matrix([ ... [-1, 1, 1], ... [ 2, 1, 3], ... [ 1, 1, -7]]) >>> p, d = _primal_dual(M) The minimum of the primal and maximum of the dual are the same (though they occur at different points): >>> lpmin(*p) (28/3, {x1: 2/3, x2: 5/3}) >>> lpmax(*d) (28/3, {y1: 1/3, y2: 2/3}) If the equivalent (but canonical) inequalities are desired, leave `factor=True`, otherwise the unmodified inequalities for M will be returned. >>> m = Matrix([ ... [-3, -2, 4, -2], ... [ 2, 0, 0, -2], ... [ 0, 1, -3, 0]]) >>> _primal_dual(m, False) # last condition is 2*x1 >= -2 ((x2 - 3*x3, [-3*x1 - 2*x2 + 4*x3 >= -2, 2*x1 >= -2]), (-2*y1 - 2*y2, [-3*y1 + 2*y2 <= 0, -2*y1 <= 1, 4*y1 <= -3])) >>> _primal_dual(m) # condition now x1 >= -1 ((x2 - 3*x3, [-3*x1 - 2*x2 + 4*x3 >= -2, x1 >= -1]), (-2*y1 - 2*y2, [-3*y1 + 2*y2 <= 0, -2*y1 <= 1, 4*y1 <= -3])) If you pass the transpose of the matrix, the primal will be identified as the standard minimization problem and the dual as the standard maximization: >>> _primal_dual(m.T) ((-2*x1 - 2*x2, [-3*x1 + 2*x2 >= 0, -2*x1 >= 1, 4*x1 >= -3]), (y2 - 3*y3, [-3*y1 - 2*y2 + 4*y3 <= -2, y1 <= -1])) A matrix must have some size or else None will be returned for the functions: >>> _primal_dual(Matrix([[1, 2]])) ((x1 - 2, []), (-2, [])) >>> _primal_dual(Matrix([])) ((None, []), (None, [])) References ========== .. [1] David Galvin, Relations between Primal and Dual www3.nd.edu/~dgalvin1/30210/30210_F07/presentations/dual_opt.pdf """ if not M: return (None, []), (None, []) if not hasattr(M, "shape"): if len(M) not in (3, 4): raise ValueError("expecting Matrix or 3 or 4 lists") M = _m(*M) m, n = [i - 1 for i in M.shape] A, b, c, d = _abcd(M) d = d[0] _ = lambda x: numbered_symbols(x, start=1) x = Matrix([i for i, j in zip(_("x"), range(n))]) yT = Matrix([i for i, j in zip(_("y"), range(m))]).T def ineq(L, r, op): rv = [] for r in (op(i, j) for i, j in zip(L, r)): if r == True: continue elif r == False: return [False] if factor: f = factor_terms(r) if f.lhs.is_Mul and f.rhs % f.lhs.args[0] == 0: assert len(f.lhs.args) == 2, f.lhs k = f.lhs.args[0] r = r.func(sign(k) * f.lhs.args[1], f.rhs // abs(k)) rv.append(r) return rv eq = lambda x, d: x[0] - d if x else -d F = eq(c * x, d) f = eq(yT * b, d) return (F, ineq(A * x, b, Ge)), (f, ineq(yT * A, c, Le)) def _rel_as_nonpos(constr, syms): """return `(np, d, aux)` where `np` is a list of nonpositive expressions that represent the given constraints (possibly rewritten in terms of auxilliary variables) expressible with nonnegative symbols, and `d` is a dictionary mapping a given symbols to an expression with an auxilliary variable. In some cases a symbol will be used as part of the change of variables, e.g. x: x - z1 instead of x: z1 - z2. If any constraint is False/empty, return None. All variables in ``constr`` are assumed to be unbounded unless explicitly indicated otherwise with a univariate constraint, e.g. ``x >= 0`` will restrict ``x`` to nonnegative values. The ``syms`` must be included so all symbols can be given an unbounded assumption if they are not otherwise bound with univariate conditions like ``x <= 3``. Examples ======== >>> from sympy.solvers.simplex import _rel_as_nonpos >>> from sympy.abc import x, y >>> _rel_as_nonpos([x >= y, x >= 0, y >= 0], (x, y)) ([-x + y], {}, []) >>> _rel_as_nonpos([x >= 3, x <= 5], [x]) ([_z1 - 2], {x: _z1 + 3}, [_z1]) >>> _rel_as_nonpos([x <= 5], [x]) ([], {x: 5 - _z1}, [_z1]) >>> _rel_as_nonpos([x >= 1], [x]) ([], {x: _z1 + 1}, [_z1]) """ r = {} # replacements to handle change of variables np = [] # nonpositive expressions aux = [] # auxilliary symbols added ui = numbered_symbols("z", start=1, cls=Dummy) # auxilliary symbols univariate = {} # {x: interval} for univariate constraints unbound = [] # symbols designated as unbound syms = set(syms) # the expected syms of the system # separate out univariates for i in constr: if i == True: continue # ignore if i == False: return # no solution if i.has(S.Infinity, S.NegativeInfinity): raise ValueError("only finite bounds are permitted") if isinstance(i, (Le, Ge)): i = i.lts - i.gts freei = i.free_symbols if freei - syms: raise ValueError( "unexpected symbol(s) in constraint: %s" % (freei - syms) ) if len(freei) > 1: np.append(i) elif freei: x = freei.pop() if x in unbound: continue # will handle later ivl = Le(i, 0, evaluate=False).as_set() if x not in univariate: univariate[x] = ivl else: univariate[x] &= ivl elif i: return False else: raise TypeError(filldedent(""" only equalities like Eq(x, y) or non-strict inequalities like x >= y are allowed in lp, not %s""" % i)) # introduce auxilliary variables as needed for univariate # inequalities for x in syms: i = univariate.get(x, True) if not i: return None # no solution possible if i == True: unbound.append(x) continue a, b = i.inf, i.sup if a.is_infinite: u = next(ui) r[x] = b - u aux.append(u) elif b.is_infinite: if a: u = next(ui) r[x] = a + u aux.append(u) else: # standard nonnegative relationship pass else: u = next(ui) aux.append(u) # shift so u = x - a => x = u + a r[x] = u + a # add constraint for u <= b - a # since when u = b-a then x = u + a = b - a + a = b: # the upper limit for x np.append(u - (b - a)) # make change of variables for unbound variables for x in unbound: u = next(ui) r[x] = u - x # reusing x aux.append(u) return np, r, aux def _lp_matrices(objective, constraints): """return A, B, C, D, r, x+X, X for maximizing objective = Cx - D with constraints Ax <= B, introducing introducing auxilliary variables, X, as necessary to make replacements of symbols as given in r, {xi: expression with Xj}, so all variables in x+X will take on nonnegative values. Every univariate condition creates a semi-infinite condition, e.g. a single ``x <= 3`` creates the interval ``[-oo, 3]`` while ``x <= 3`` and ``x >= 2`` create an interval ``[2, 3]``. Variables not in a univariate expression will take on nonnegative values. """ # sympify input and collect free symbols F = sympify(objective) np = [sympify(i) for i in constraints] syms = set.union(*[i.free_symbols for i in [F] + np], set()) # change Eq(x, y) to x - y <= 0 and y - x <= 0 for i in range(len(np)): if isinstance(np[i], Eq): np[i] = np[i].lhs - np[i].rhs <= 0 np.append(-np[i].lhs <= 0) # convert constraints to nonpositive expressions _ = _rel_as_nonpos(np, syms) if _ is None: raise InfeasibleLPError(filldedent(""" Inconsistent/False constraint""")) np, r, aux = _ # do change of variables F = F.xreplace(r) np = [i.xreplace(r) for i in np] # convert to matrices xx = list(ordered(syms)) + aux A, B = linear_eq_to_matrix(np, xx) C, D = linear_eq_to_matrix([F], xx) return A, B, C, D, r, xx, aux def _lp(min_max, f, constr): """Return the optimization (min or max) of ``f`` with the given constraints. All variables are unbounded unless constrained. If `min_max` is 'max' then the results corresponding to the maximization of ``f`` will be returned, else the minimization. The constraints can be given as Le, Ge or Eq expressions. Examples ======== >>> from sympy.solvers.simplex import _lp as lp >>> from sympy import Eq >>> from sympy.abc import x, y, z >>> f = x + y - 2*z >>> c = [7*x + 4*y - 7*z <= 3, 3*x - y + 10*z <= 6] >>> c += [i >= 0 for i in (x, y, z)] >>> lp(min, f, c) (-6/5, {x: 0, y: 0, z: 3/5}) By passing max, the maximum value for f under the constraints is returned (if possible): >>> lp(max, f, c) (3/4, {x: 0, y: 3/4, z: 0}) Constraints that are equalities will require that the solution also satisfy them: >>> lp(max, f, c + [Eq(y - 9*x, 1)]) (5/7, {x: 0, y: 1, z: 1/7}) All symbols are reported, even if they are not in the objective function: >>> lp(min, x, [y + x >= 3, x >= 0]) (0, {x: 0, y: 3}) """ # get the matrix components for the system expressed # in terms of only nonnegative variables A, B, C, D, r, xx, aux = _lp_matrices(f, constr) how = str(min_max).lower() if "max" in how: # _simplex minimizes for Ax <= B so we # have to change the sign of the function # and negate the optimal value returned _o, p, d = _simplex(A, B, -C, -D) o = -_o elif "min" in how: o, p, d = _simplex(A, B, C, D) else: raise ValueError("expecting min or max") # restore original variables and remove aux from p p = dict(zip(xx, p)) if r: # p has original symbols and auxilliary symbols # if r has x: x - z1 use values from p to update r = {k: v.xreplace(p) for k, v in r.items()} # then use the actual value of x (= x - z1) in p p.update(r) # don't show aux p = {k: p[k] for k in ordered(p) if k not in aux} # not returning dual since there may be extra constraints # when a variable has finite bounds return o, p def lpmin(f, constr): """return minimum of linear equation ``f`` under linear constraints expressed using Ge, Le or Eq. All variables are unbounded unless constrained. Examples ======== >>> from sympy.solvers.simplex import lpmin >>> from sympy import Eq >>> from sympy.abc import x, y >>> lpmin(x, [2*x - 3*y >= -1, Eq(x + 3*y, 2), x <= 2*y]) (1/3, {x: 1/3, y: 5/9}) Negative values for variables are permitted unless explicitly exluding, so minimizing ``x`` for ``x <= 3`` is an unbounded problem while the following has a bounded solution: >>> lpmin(x, [x >= 0, x <= 3]) (0, {x: 0}) Without indicating that ``x`` is nonnegative, there is no minimum for this objective: >>> lpmin(x, [x <= 3]) Traceback (most recent call last): ... sympy.solvers.simplex.UnboundedLPError: Objective function can assume arbitrarily large values! See Also ======== linprog, lpmax """ return _lp(min, f, constr) def lpmax(f, constr): """return maximum of linear equation ``f`` under linear constraints expressed using Ge, Le or Eq. All variables are unbounded unless constrained. Examples ======== >>> from sympy.solvers.simplex import lpmax >>> from sympy import Eq >>> from sympy.abc import x, y >>> lpmax(x, [2*x - 3*y >= -1, Eq(x+ 3*y,2), x <= 2*y]) (4/5, {x: 4/5, y: 2/5}) Negative values for variables are permitted unless explicitly exluding: >>> lpmax(x, [x <= -1]) (-1, {x: -1}) If a non-negative constraint is added for x, there is no possible solution: >>> lpmax(x, [x <= -1, x >= 0]) Traceback (most recent call last): ... sympy.solvers.simplex.InfeasibleLPError: inconsistent/False constraint See Also ======== linprog, lpmin """ return _lp(max, f, constr) def _handle_bounds(bounds): # introduce auxilliary variables as needed for univariate # inequalities unbound = [] R = [0] * len(bounds) # a (growing) row of zeros def n(): return len(R) - 1 def Arow(inc=1): R.extend([0] * inc) return R[:] row = [] for x, (a, b) in enumerate(bounds): if a is None and b is None: unbound.append(x) elif a is None: # r[x] = b - u A = Arow() A[x] = 1 A[n()] = 1 B = [b] row.append((A, B)) A = [0] * len(A) A[x] = -1 A[n()] = -1 B = [-b] row.append((A, B)) elif b is None: if a: # r[x] = a + u A = Arow() A[x] = 1 A[n()] = -1 B = [a] row.append((A, B)) A = [0] * len(A) A[x] = -1 A[n()] = 1 B = [-a] row.append((A, B)) else: # standard nonnegative relationship pass else: # r[x] = u + a A = Arow() A[x] = 1 A[n()] = -1 B = [a] row.append((A, B)) A = [0] * len(A) A[x] = -1 A[n()] = 1 B = [-a] row.append((A, B)) # u <= b - a A = [0] * len(A) A[x] = 0 A[n()] = 1 B = [b - a] row.append((A, B)) # make change of variables for unbound variables for x in unbound: # r[x] = u - v A = Arow(2) B = [0] A[x] = 1 A[n()] = 1 A[n() - 1] = -1 row.append((A, B)) A = [0] * len(A) A[x] = -1 A[n()] = -1 A[n() - 1] = 1 row.append((A, B)) return Matrix([r+[0]*(len(R) - len(r)) for r,_ in row] ), Matrix([i[1] for i in row]) def linprog(c, A=None, b=None, A_eq=None, b_eq=None, bounds=None): """Return the minimization of ``c*x`` with the given constraints ``A*x <= b`` and ``A_eq*x = b_eq``. Unless bounds are given, variables will have nonnegative values in the solution. If ``A`` is not given, then the dimension of the system will be determined by the length of ``C``. By default, all variables will be nonnegative. If ``bounds`` is given as a single tuple, ``(lo, hi)``, then all variables will be constrained to be between ``lo`` and ``hi``. Use None for a ``lo`` or ``hi`` if it is unconstrained in the negative or positive direction, respectively, e.g. ``(None, 0)`` indicates nonpositive values. To set individual ranges, pass a list with length equal to the number of columns in ``A``, each element being a tuple; if only a few variables take on non-default values they can be passed as a dictionary with keys giving the corresponding column to which the variable is assigned, e.g. ``bounds={2: (1, 4)}`` would limit the 3rd variable to have a value in range ``[1, 4]``. Examples ======== >>> from sympy.solvers.simplex import linprog >>> from sympy import symbols, Eq, linear_eq_to_matrix as M, Matrix >>> x = x1, x2, x3, x4 = symbols('x1:5') >>> X = Matrix(x) >>> c, d = M(5*x2 + x3 + 4*x4 - x1, x) >>> a, b = M([5*x2 + 2*x3 + 5*x4 - (x1 + 5)], x) >>> aeq, beq = M([Eq(3*x2 + x4, 2), Eq(-x1 + x3 + 2*x4, 1)], x) >>> constr = [i <= j for i,j in zip(a*X, b)] >>> constr += [Eq(i, j) for i,j in zip(aeq*X, beq)] >>> linprog(c, a, b, aeq, beq) (9/2, [0, 1/2, 0, 1/2]) >>> assert all(i.subs(dict(zip(x, _[1]))) for i in constr) See Also ======== lpmin, lpmax """ ## the objective C = Matrix(c) if C.rows != 1 and C.cols == 1: C = C.T if C.rows != 1: raise ValueError("C must be a single row.") ## the inequalities if not A: if b: raise ValueError("A and b must both be given") # the governing equations will be simple constraints # on variables A, b = zeros(0, C.cols), zeros(C.cols, 1) else: A, b = [Matrix(i) for i in (A, b)] if A.cols != C.cols: raise ValueError("number of columns in A and C must match") ## the equalities if A_eq is None: if not b_eq is None: raise ValueError("A_eq and b_eq must both be given") else: A_eq, b_eq = [Matrix(i) for i in (A_eq, b_eq)] # if x == y then x <= y and x >= y (-x <= -y) A = A.col_join(A_eq) A = A.col_join(-A_eq) b = b.col_join(b_eq) b = b.col_join(-b_eq) if not (bounds is None or bounds == {} or bounds == (0, None)): ## the bounds are interpreted if type(bounds) is tuple and len(bounds) == 2: bounds = [bounds] * A.cols elif len(bounds) == A.cols and all( type(i) is tuple and len(i) == 2 for i in bounds): pass # individual bounds elif type(bounds) is dict and all( type(i) is tuple and len(i) == 2 for i in bounds.values()): # sparse bounds db = bounds bounds = [(0, None)] * A.cols while db: i, j = db.popitem() bounds[i] = j # IndexError if out-of-bounds indices else: raise ValueError("unexpected bounds %s" % bounds) A_, b_ = _handle_bounds(bounds) aux = A_.cols - A.cols if A: A = Matrix([[A, zeros(A.rows, aux)], [A_]]) b = b.col_join(b_) else: A = A_ b = b_ C = C.row_join(zeros(1, aux)) else: aux = -A.cols # set so -aux will give all cols below o, p, d = _simplex(A, b, C) return o, p[:-aux] # don't include aux values def show_linprog(c, A=None, b=None, A_eq=None, b_eq=None, bounds=None): from sympy import symbols ## the objective C = Matrix(c) if C.rows != 1 and C.cols == 1: C = C.T if C.rows != 1: raise ValueError("C must be a single row.") ## the inequalities if not A: if b: raise ValueError("A and b must both be given") # the governing equations will be simple constraints # on variables A, b = zeros(0, C.cols), zeros(C.cols, 1) else: A, b = [Matrix(i) for i in (A, b)] if A.cols != C.cols: raise ValueError("number of columns in A and C must match") ## the equalities if A_eq is None: if not b_eq is None: raise ValueError("A_eq and b_eq must both be given") else: A_eq, b_eq = [Matrix(i) for i in (A_eq, b_eq)] if not (bounds is None or bounds == {} or bounds == (0, None)): ## the bounds are interpreted if type(bounds) is tuple and len(bounds) == 2: bounds = [bounds] * A.cols elif len(bounds) == A.cols and all( type(i) is tuple and len(i) == 2 for i in bounds): pass # individual bounds elif type(bounds) is dict and all( type(i) is tuple and len(i) == 2 for i in bounds.values()): # sparse bounds db = bounds bounds = [(0, None)] * A.cols while db: i, j = db.popitem() bounds[i] = j # IndexError if out-of-bounds indices else: raise ValueError("unexpected bounds %s" % bounds) x = Matrix(symbols('x1:%s' % (A.cols+1))) f,c = (C*x)[0], [i<=j for i,j in zip(A*x, b)] + [Eq(i,j) for i,j in zip(A_eq*x,b_eq)] for i, (lo, hi) in enumerate(bounds): if lo is None and hi is None: continue if lo is None: c.append(x[i]<=hi) elif hi is None: c.append(x[i]>=lo) else: c.append(x[i]>=lo) c.append(x[i]<=hi) return f,c