242 Introduction to Linear Optimization and Extensions with MATLAB
R
problem solved
xsol =
3.3333
8.3333
0.0000
0.0000
objval =
-26.6667
6.5.1 MATLAB Code
function [xsol, objval] = PD_InteriorPoint(c, A, b)
% PD_InteriorPoint solves a linear programming in standard form
% min c’*x
% s.t. A*x = b
% x >= 0
% using the predictor corrector primal-dual path following method
% of Mehrotra.
%
% Inputs:
% c = n*1 vector, objective coefficients
% A = m*n matrix with m < n, A is full rank matrix
% b = m*1 vector, RHS
%
% Outputs:
% xsol = n*1 vector, final solution
% objval is scalar, final objective value
[m n]=size(A); % number of constraint and variables
e=ones(n,1);
%% Step 0: Initialization
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Obtain an initial interior solution [x(0), pie(0),