convert_lin_constraint_multipliers

convert_lin_constraint_multipliers(lam, mu, ieq, igt, ilt)

convert_lin_constraint_multipliers() - Convert multipliers for eq/ineq pair to bounded.

[mu_l, mu_u] = convert_lin_constraint_multipliers(lam, mu, ieq, igt, ilt)

Convert multipliers back for constraints converted by convert_lin_constraint(). That is, we assume a set of constraints that have been converted from the form:

l <= A * x <= u       (1)

to:

Ae * x = be           (2)
Ai * x <= bi          (3)

where:

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

Given the constraint multipliers for constraints of the form (2)-(3), this function converts them back to the equivalent multipliers for form (1).

Inputs:

lam (double) – vector of multipliers for (2)
mu (double) – vector of multipliers for (3)
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

Outputs:

mu_l (double) – vector of multipliers on lower bound of (1)
mu_u (double) – vector of multipliers on upper bound of (1)