Multiple linear optimizations

I'm interested in solving a few hundred linear systems in MATLAB. At the moment this is done by a for-loop with linprog

The vectors used have identical dimensions and are lines of one matrix.

for combination_id = 1:1000
[tempOperatingPointsVectors,tempTargetValue, exitflag] = ...
   linprog( lo_c(combination_id,:), ...
            [], [], ...
            lo_G(:,:,combination_id), lo_d(:,combination_id), ...
            lo_u(:,combination_id), lo_v(:,combination_id), ...
            x0_in, options);
end

Is there a way of using linprog with the whole vectors instead of picking each line? I also tried a parfor loop but since the operations in each loop are very small there is no speed improvement.

---

Why can't you set up one big linear program and then solve all of it at once?

Since I don't have your data, I cannot test the following code, but the basic idea should work.

xVar = 1:size(lo_c,2);
uBound = lo_u(:, 1);
vBound = lo_v(:, 1);
dMat = lo_d(:, 1);
gMat = lo_G(:,:, 1);
objMat = lo_c(1,:);
x0_inMat = x0_in;

for combination_id = 2:1000
    xVar = [xVar, xVar(end)+1:xVar(end)+size(lo_c,2)];
    uBound = [uBound; lo_u(:, combination_id);
    vBound = [vBound; lo_v(:, combination_id);
    dMat = [dMat; lo_d(:, combination_id);
    gMat = [gMat; lo_G(:,:, combination_id)];
    objMat = [objMat; lo_c(combination_id,:)];
    x0_inMat = [xo_inMat; x0_in];
end
[tempOperatingPointsVectors,tempTargetValue, exitflag] = ...
       linprog( objMat, ...
                [], [], ...
                gMat, dMat, ...
                uBound, vBound, ...
                x0_in, options);

Should do the trick.

链接地址: http://www.djcxy.com/p/36360.html

上一篇: 如何以缓存友好的方式访问灵活数组的数组？

下一篇: 多线性优化