lp(c, G, h, A=None, b=None, solver=None, primalstart=None, dualstart=None)
Solves a pair of primal and dual LPs
minimize c'*x
subject to G*x + s = h
A*x = b
s >= 0
maximize -h'*z - b'*y
subject to G'*z + A'*y + c = 0
z >= 0.
from cvxopt import matrix, solvers
G = matrix([ [-1.0, -1.0, 0.0, 1.0], [1.0, -1.0, -1.0, -2.0] ])
h = matrix([ 1.0, -2.0, 0.0, 4.0 ])
c = matrix([ 2.0, 1.0 ])
A=matrix([1.,1.])
b=matrix([10.])
sol=solvers.lp(c,G,h,A.T,b)
x=sol['x']
print x
runfile('/home/rms/U/DA/cvx/zlp.py', wdir=r'/home/rms/U/DA/cvx')
pcost dcost gap pres dres k/t
0: 1.7143e+01 1.3500e+01 2e+01 4e-16 2e+00 1e+00
1: 1.6767e+01 1.6166e+01 4e+00 8e-16 3e-01 2e-01
2: 1.4528e+01 1.4434e+01 2e+00 1e-15 1e-01 2e-01
3: 1.4501e+01 1.4500e+01 2e-02 6e-16 1e-03 2e-03
4: 1.4500e+01 1.4500e+01 2e-04 6e-16 1e-05 2e-05
5: 1.4500e+01 1.4500e+01 2e-06 7e-16 1e-07 2e-07
6: 1.4500e+01 1.4500e+01 2e-08 7e-16 1e-09 2e-09
Optimal solution found.
[ 4.50e+00]
[ 5.50e+00]