Matlab Script for Active Set Method

I've posted the Matlab script we did in class today as a demonstration of the active set method for solving linear programs. Remember, this script is quite crude though it does demonstrate the basic elements of the algorithm, and could be a starting point for the homework problem. If you did want to develop it further, my suggestions would be (with difficulty measured on a five-* scale):

1. Encapsulate in a function, and a document the lp data structure. (*)
   
2. Include feasibility checks, argument checks, etc. (*)
   
3. Accomodate equality constraints as a constraint type (**)
   
4. As we discussed in class, do efficient updates to a representation of the matrixinverse rather equation solving at each vertex (***)
   
5. Accomodate degenerate constraints (****)
6. Implement a Phase I/Phase II stategy for initial feasibility (**)
7. Validate that the code is sparse matrix friendly (**)

If you did all that, you'd actually have a pretty nice and useful tool.

Today's Lecture, Homework Solutions, and Preparation for next time

I've posted the notes from today's lecture. These are a revision of what was presented in class today in order to correct a few typos, to simplify the presentation, and to include more complete notes for our toy example. I've also posted a solution to the homework that was due today.

As preparation for Wednesday, I urge you to work through to an optimal solution for our example using the active set method. In class we completed the first iteration. Completing the example by hand will provide you helpful insights when it comes time to craft a Matlab implementaton of the algorithm.