## # Copyright : Copyright (c) MOSEK ApS, Denmark. All rights reserved. # # File : lo1.R # # Purpose : To demonstrate how to solve a small linear # optimization problem using the Rmosek package. ## library("Rmosek") lo1 <- function() { prob <- list() # Objective sense (maximize or minimize) prob$sense <- "max" # Objective coefficients prob$c <- c(3, 1, 5, 1) # Specify matrix 'A' in sparse format. asubi <- c(1, 1, 1, 2, 2, 2, 2, 3, 3) asubj <- c(1, 2, 3, 1, 2, 3, 4, 2, 4) aval <- c(3, 1, 2, 2, 1, 3, 1, 2, 3) prob$A <- sparseMatrix(asubi,asubj,x=aval) # Bound values for constraints prob$bc <- rbind(blc=c(30, 15, -Inf), buc=c(30, Inf, 25)) # Bound values for variables prob$bx <- rbind(blx=rep(0,4), bux=c(Inf, 10, Inf, Inf)) # Solve the problem r <- mosek(prob) # Return the solution stopifnot(identical(r$response$code, 0)) r$sol } lo1()