Specifying bounds for x in LP (GLPK)

[Ted Lee]

Hi,

I am using cvxopt.solvers.lp(c, G, h, A, b, solver='glpk'). How do I specify lower and upper bounds for x? In other LP solvers (such as scipy.optimize.linprog), you can specify bounds but I haven't seen any documentation that says how to do so in cvxopt.solvers.lp.

I have tried to incorporate the bounds into G and h but since my x vector is large (len(x) = 40000), I run out of memory when trying to create a 40000x40000 identity matrix.

Any ideas?

Thanks!

[Martin]

Hi Ted,

CVXOPT does not have a complete GLPK interface, so I believe that your approach (incorporating the bounds into G and h) is currently the only option when using the CVXOPT interface. There are several other Python packages that offer a more comprehensive GLPK interface, so your best option may be to use one of those.

Martin

[Ted Lee]

Hi Martin,

Thanks for the reply, I'll look into those!

Ted