数值计算·第五集：线性规划（CVXPY版）

最新推荐文章于 2024-08-06 00:21:17 发布

Seung-Yim Yau

最新推荐文章于 2024-08-06 00:21:17 发布

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分类专栏：数值优化（本科版）文章标签： LP 线性规划

本文链接：https://blog.csdn.net/Miracle0_0/article/details/100062147

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PS：为了计算一个优化问题，特地去学习cvxpy库。确实好用，推荐大家!

Linear program(线性规划)

标准形式：-A linear program is an optimization problem with a linear objective and affine inequality constraints.

#Example -Linear program
import cvxpy as cp
import numpy as np

#problem data
m,n = 10,15
np.random.seed(1)
A = np.random.randn(m,n)
b = np.random.randn(m)
C = np.random.randn(n)

#problem variable
x = cp.Variable(n)

#objective
objective = cp.Minimize(C.T@x)
#print(objective.is_dcp())

#constraints
constraints = [A@x<=b]

#problem
prob = cp.Problem(objective,constraints)

#solve
prob.solve(solver = cp.SCS,verbose = True)

#expression
print('x = ',x.value)
print('Min-Value = ',prob.value)