// Two-phase simplex algorithm for solving linear programs of the form // // maximize c^T x // subject to Ax <= b // x >= 0 // // INPUT: A -- an m x n matrix // b -- an m-dimensional vector // c -- an n-dimensional vector // x -- a vector where the optimal solution will be stored // // OUTPUT: value of the optimal solution (infinity if unbounded // above, nan if infeasible) // // To use this code, create an LPSolver object with A, b, and c as // arguments. Then, call Solve(x). #include #include #include #include #include using namespace std; typedef long double DOUBLE; typedef vector VD; typedef vector VVD; typedef vector VI; const DOUBLE EPS = 1e-9; struct LPSolver { int m, n; VI B, N; VVD D; LPSolver(const VVD &A, const VD &b, const VD &c) : m(b.size()), n(c.size()), N(n+1), B(m), D(m+2, VD(n+2)) { for (int i = 0; i < m; i++) for (int j = 0; j < n; j++) D[i][j] = A[i][j]; for (int i = 0; i < m; i++) { B[i] = n+i; D[i][n] = -1; D[i][n+1] = b[i]; } for (int j = 0; j < n; j++) { N[j] = j; D[m][j] = -c[j]; } N[n] = -1; D[m+1][n] = 1; } void Pivot(int r, int s) { for (int i = 0; i < m+2; i++) if (i != r) for (int j = 0; j < n+2; j++) if (j != s) D[i][j] -= D[r][j] * D[i][s] / D[r][s]; for (int j = 0; j < n+2; j++) if (j != s) D[r][j] /= D[r][s]; for (int i = 0; i < m+2; i++) if (i != r) D[i][s] /= -D[r][s]; D[r][s] = 1.0 / D[r][s]; swap(B[r], N[s]); } bool Simplex(int phase) { int x = phase == 1 ? m+1 : m; while (true) { int s = -1; for (int j = 0; j <= n; j++) { if (phase == 2 && N[j] == -1) continue; if (s == -1 || D[x][j] < D[x][s] || D[x][j] == D[x][s] && N[j] < N[s]) s = j; } if (D[x][s] >= -EPS) return true; int r = -1; for (int i = 0; i < m; i++) { if (D[i][s] <= 0) continue; if (r == -1 || D[i][n+1] / D[i][s] < D[r][n+1] / D[r][s] || D[i][n+1] / D[i][s] == D[r][n+1] / D[r][s] && B[i] < B[r]) r = i; } if (r == -1) return false; Pivot(r, s); } } DOUBLE Solve(VD &x) { int r = 0; for (int i = 1; i < m; i++) if (D[i][n+1] < D[r][n+1]) r = i; if (D[r][n+1] <= -EPS) { Pivot(r, n); if (!Simplex(1) || D[m+1][n+1] < -EPS) return -numeric_limits::infinity(); for (int i = 0; i < m; i++) if (B[i] == -1) { int s = -1; for (int j = 0; j <= n; j++) if (s == -1 || D[i][j] < D[i][s] || D[i][j] == D[i][s] && N[j] < N[s]) s = j; Pivot(i, s); } } if (!Simplex(2)) return numeric_limits::infinity(); x = VD(n); for (int i = 0; i < m; i++) if (B[i] < n) x[B[i]] = D[i][n+1]; return D[m][n+1]; } }; int main() { const int m = 4; const int n = 3; DOUBLE _A[m][n] = { { 6, -1, 0 }, { -1, -5, 0 }, { 1, 5, 1 }, { -1, -5, -1 } }; DOUBLE _b[m] = { 10, -4, 5, -5 }; DOUBLE _c[n] = { 1, -1, 0 }; VVD A(m); VD b(_b, _b + m); VD c(_c, _c + n); for (int i = 0; i < m; i++) A[i] = VD(_A[i], _A[i] + n); LPSolver solver(A, b, c); VD x; DOUBLE value = solver.Solve(x); cerr << "VALUE: "<< value << endl; cerr << "SOLUTION:"; for (size_t i = 0; i < x.size(); i++) cerr << " " << x[i]; cerr << endl; return 0; }