Optimization: principles and algorithms, by Michel Bierlaire

Algorithm 17.3: Dikin's method. More...
Go to the source code of this file.
Functions  
function  dikin (in A, in b, in c, in x0, in eps, in beta) 
Applies Dikin's method to solve
subject to
and
. More...  
Algorithm 17.3: Dikin's method.
Implementation of algorithm 17.3 of [1]
Definition in file dikin.m.
function dikin  (  in  A, 
in  b,  
in  c,  
in  x0,  
in  eps,  
in  beta  
) 
Applies Dikin's method to solve
subject to
and
.
A  the constraint matrix 
b  the constraint right hand side 
c  the cost vector for the objective function 
x0  starting point 
eps  algorithm stops if . 
beta  parameter such that 0 < beta < 1 (default: 0.9) 
maxiter  maximum number of iterations (default: 100) 