simplex_example.cpp

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#include <EigenOpt/simplex.hpp>
#include <Eigen/Dense>
#include <iostream>
 
int main(int argc, char** argv) {
  /* Solve: min - x1 + x2
   * Such that: -4 x1  - x2 <= -5
   *               x1 -4 x2 <= -3
   *             2 x1  - x2 <= 8
   *                 x1, x2 >=  0
   */
  // Objective and constraints in matrix form.
  Eigen::VectorXd f(2);     f << -1, 1;
  Eigen::MatrixXd C(5, 2);  C << -4,-1,
                                  1,-4,
                                  2,-1,
                                 -1, 0,
                                  0,-1;
  Eigen::VectorXd d(5);     d << -5, -3, 8, 0, 0;
  double tolerance = 1e-6;
 
  // Solve the problem.
  Eigen::VectorXd x;
  std::string message;
  EigenOpt::simplex::minimize(f, C, d, x, message, tolerance);
  std::cout << "Solution: " << x.transpose() << std::endl;
  // Prints: "Solution: 5  2"
 
  return 0;
}