How to add constraints to a optimization problem matrix

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Kernel7364 2019-5-10

0
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https://ww2.mathworks.cn/matlabcentral/answers/461332-how-to-add-constraints-to-a-optimization-problem-matrix

评论： Kernel7364 2019-5-19

Hello everybody,

I have another problem to solve. It is a linear problem but it is pretty big and thats why Matlab needs more than 30 minutes to solve

[x,fval] = linprog(M, A, b, Aeq, beq);

My matrix A is approximately 40.000 x 20.000, so I have about 20.000 variables in my vector x.

I would like to add some constraints that the solver doesnt take to much time. I would like to add for example a constraint where I give him a possible x with a low function value M*x. My idea is that the branch and bound algorithm cuts more branches off because I added a guilty constraint with a very good value. How can I do this ? Do I have to set this as x_0 ??

Or is it possible to put this constraint in A. But I have no idea how to do this.

Actually I would like to add a row in my matrix A with this constraint, but I dont know how to combine this with my function value

Thank you very much for your help !

Best regards