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From "Andrea (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-286) SimplexSolver not working as expected?
Date Thu, 20 Aug 2009 15:05:14 GMT
SimplexSolver not working as expected?
--------------------------------------

                 Key: MATH-286
                 URL: https://issues.apache.org/jira/browse/MATH-286
             Project: Commons Math
          Issue Type: Bug
    Affects Versions: 2.0
         Environment: Java 1.6.0_13 on  Windows XP 32-bit
            Reporter: Andrea


I guess (but I could be wrong) that SimplexSolver does not always return the optimal solution,
nor satisfies all the constraints...

Consider this LP:

max: 0.8 x0 + 0.2 x1 + 0.7 x2 + 0.3 x3 + 0.6 x4 + 0.4 x5;
r1: x0 + x2 + x4 = 23.0;
r2: x1 + x3 + x5 = 23.0;
r3: x0 >= 10.0;
r4: x2 >= 8.0;
r5: x4 >= 5.0;

LPSolve returns 25.8, with x0 = 10.0, x1 = 0.0, x2 = 8.0, x3 = 0.0, x4 = 5.0, x5 = 23.0;

The same LP expressed in Apache commons math is:

LinearObjectiveFunction f = new LinearObjectiveFunction(new double[] { 0.8, 0.2, 0.7, 0.3,
0.6, 0.4 }, 0 );
Collection<LinearConstraint> constraints = new ArrayList<LinearConstraint>();
constraints.add(new LinearConstraint(new double[] { 1, 0, 1, 0, 1, 0 }, Relationship.EQ, 23.0));
constraints.add(new LinearConstraint(new double[] { 0, 1, 0, 1, 0, 1 }, Relationship.EQ, 23.0));
constraints.add(new LinearConstraint(new double[] { 1, 0, 0, 0, 0, 0 }, Relationship.GEQ,
10.0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 1, 0, 0, 0 }, Relationship.GEQ,
8.0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 1, 0 }, Relationship.GEQ,
5.0));

RealPointValuePair solution = new SimplexSolver().optimize(f, constraints, GoalType.MAXIMIZE,
true);

that returns 22.20, with x0 = 15.0, x1 = 23.0, x2 = 8.0, x3 = 0.0, x4 = 0.0, x5 = 0.0;

Is it possible SimplexSolver is buggy that way? The returned value is 22.20 instead of 25.8,
and the last constraint (x4 >= 5.0) is not satisfied...

Am I using the interface wrongly?

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