Raghu Rangarajan created MATH-813:
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Summary: SimplexSolver bug?
Key: MATH-813
URL: https://issues.apache.org/jira/browse/MATH-813
Project: Commons Math
Issue Type: Bug
Affects Versions: 3.0
Environment: Windows 7, JDK 1.7.0_03
Reporter: Raghu Rangarajan
I am trying to use the SimplexSolver in commons-math3-3.0 and am getting
unpredictable results. I am pasting the problem code below. Basically swapping
the sequence of the last two constraints results in two different results (of
which one is pure sub-optimal). Am I not using the solver correctly?
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import java.util.ArrayList;
import java.util.Collection;
import org.apache.commons.math3.optimization.*;
import org.apache.commons.math3.optimization.linear.*;
public class Commons_Solver {
public static void main(String[] args) {
// describe the optimization problem
LinearObjectiveFunction f = new LinearObjectiveFunction(new double[] { 1,
1, 1, 1, 1, 1, 0, 0 }, 0);
Collection <LinearConstraint>constraints = new
ArrayList<LinearConstraint>();
//variables upper bounds
constraints.add(new LinearConstraint(new double[] { 1, 0, 0, 0, 0, 0, 0, 0
}, Relationship.LEQ, 38));
constraints.add(new LinearConstraint(new double[] { 0, 1, 0, 0, 0, 0, 0, 0
}, Relationship.LEQ, 34));
constraints.add(new LinearConstraint(new double[] { 0, 0, 1, 0, 0, 0, 0, 0
}, Relationship.LEQ, 1));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 1, 0, 0, 0, 0
}, Relationship.LEQ, 6));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 1, 0, 0, 0
}, Relationship.LEQ, 17));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 1, 0, 0
}, Relationship.LEQ, 11));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 0, 1, 0
}, Relationship.LEQ, 101));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 0, 0, 1
}, Relationship.LEQ, 1e10));
//variables lower bounds
constraints.add(new LinearConstraint(new double[] { 1, 0, 0, 0, 0, 0, 0, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 1, 0, 0, 0, 0, 0, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 1, 0, 0, 0, 0, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 1, 0, 0, 0, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 1, 0, 0, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 1, 0, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 0, 1, 0
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 0, 0, 1
}, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { -1,-1, -1, -1, -1, -1,
1, 0 }, Relationship.EQ, 0));
constraints.add(new LinearConstraint(new double[] { -1, -1, -1, -1, -1,
-1,0 , 1 }, Relationship.EQ, 0));
constraints.add(new LinearConstraint(new double[] { 1, 0, 0, 0, 0, 0, 0,
-0.2841121495327103 }, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 1, 0, 0, 0, 0, 0,
-0.25420560747663556 }, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 1, 0, 0, 0,
-0.04485981308411215 }, Relationship.GEQ, 0));
/*---------------
Swapping the sequence of the below two constraints produces two different
results
------------------*/
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 1, 0, 0,
-0.12710280373831778 }, Relationship.GEQ, 0));
constraints.add(new LinearConstraint(new double[] { 0, 0, 0, 0, 0, 1, 0,
-0.08224299065420561 }, Relationship.GEQ, 0));
/*------------------*/
PointValuePair solution = new SimplexSolver().optimize(f, constraints,
GoalType.MAXIMIZE, false);
// get the solution
for (int i = 0 ; i < solution.getPoint().length; i++)
System.out.println("x[" + i + "] = " + solution.getPoint()[i]);
System.out.println("value = " + solution.getValue());
}
}
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