Linear programming using MATLAB (Q2399910)

This book, containing twelve chapters and two annexes, studies the field of linear programming with a particular focus on implementation of the optimization programs in the MATLAB language. The book begins with an introduction to linear programming and a brief overview of the contents of the book, followed by a detailed description of linear programming, the properties of the solutions, the dual problem and the classic primal/dual algorithms for their solution. The third chapter considers a representation of a linear program in MATLAB and sets up the necessary MATLAB variables and structures to accommodate the problem and its solution. In the next two chapters the authors consider the preprocessing and scaling steps of the optimization, with particular focus on dimensionality reduction, the elimination of redundant rows and columns and numeric stability. The sixth chapter proceeds to study six different several versions for the pivoting step of the Simplex algorithm, including advantages and disadvantages for each one, before considering the task of updating and inverting the basis during the solution procedure. The eighth and ninth chapters consider the revised primal and dual Simplex algorithms and provide a MATLAB code for its implementation. A number of interior and exterior point algorithms for the more efficient solution of certain types of linear programs is also presented in the last chapters, as well as a code to carry out sensitivity analysis of the results. Throughout this very interesting book a large number of solved examples are given, together with the corresponding complete MATLAB code, which makes it easy for any researcher to directly implement the entire optimization procedure. This book will be of great interest to researchers wishing to program their linear programming optimizer from scratch, without using commercial suites such as CPLEX, while at the same time taking advantage of the powerful matrix algebra capabilities of MATLAB which can handle efficiently some of the intricate matrix calculations involved in the optimization steps.