Alexey Slepov created MATH-828:
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Summary: Not expected UnboundedSolutionException
Key: MATH-828
URL: https://issues.apache.org/jira/browse/MATH-828
Project: Commons Math
Issue Type: Bug
Affects Versions: 3.0
Environment: Intel Core i5-2300 Windows XP SP3
Reporter: Alexey Slepov
Priority: Blocker
Fix For: 3.0
SimplexSolver throws UnboundedSolutionException when trying to solve minimization linear programming problem. The number of exception thrown depends on the number of variables.
In order to see that behavior of SimplexSolver first try to run JUnit test setting a final variable ENTITIES_COUNT = 2 and that will give almost good result and then set it to 15 and you'll get a massive of unbounded exceptions.
First iteration is runned with predefined set of input data with which the Solver gives back an appropriate result.
The problem itself is well tested by it's authors (mathematicians who I believe know what they developed) using Matlab 10 with no unbounded solutions on the same rules of creatnig random variables values.
What is strange to me is the dependence of the number of UnboundedSolutionException exceptions on the number of variables in the problem.
The problem is formulated as
min(1*t + 0*L) (for every r-th subject)
s.t.
-q(r) + QL >= 0
x(r)t - XL >= 0
L >= 0
where
r = 1..R,
L = {l(1), l(2), ..., l(R)} (vector of R rows and 1 column),
Q - coefficients matrix MxR
X - coefficients matrix NxR
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