convert_lin_constraint

convert_lin_constraint(A, l, u)

convert_lin_constraint() - Convert from bounded to equality/inequality pair.

[ieq, igt, ilt, Ae, be, Ai, bi] = convert_lin_constraint(A, l, u)
[ieq, igt, ilt, A, b] = convert_lin_constraint(A, l, u)

Convert a set of constraints of the form:

l <= A * x <= u

to:

Ae * x = be
Ai * x <= bi

where:

Ae = A(ieq, :);
be = u(ieq, 1);
Ai  = [ A(ilt, :); -A(igt, :) ];
bi  = [ u(ilt, 1); -l(igt, 1) ];

Alternatively, the returned matrices and RHS vectors can be stacked into a single set with the equalities first, then the inequalities.

A = [Ae; Ai]
b = [be; bi]

Inputs:

• A (double) – m x n, (possibly sparse) constraint matrix

• l (double) – m x 1, constraint lower bound vector

• u (double) – m x 1, constraint upper bound vector

Outputs:

• ieq (integer) – vector of indices of equality constraints

• igt (integer) – vector of indices of lower bounded inequality constraints

• ilt (integer) – vector of indices of upper bounded inequality constraints

• Ae (double) – (possibly sparse) equality constraint matrix

• be (double) – equality constraint RHS

• Ai (double) – (possibly sparse) inequality constraint matrix

• bi (double) – inequality constraint RHS

• A (double) – (possibly sparse) stacked constraint matrix

• b (double) – stacked RHS

See also convert_lin_constraint_multipliers().