29 lines
1.1 KiB
Mathematica
29 lines
1.1 KiB
Mathematica
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function [fix_up,fix_down] = presolve_fixvariables(A,b,c,lb,ub,monotinicity)
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% These are optimally (or w.l.o.g) set to upper bound
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not_in_obj = find(c<=0);
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% Setting to 1 makes Ax<b increase feasible set for these variables
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constrained_blow = all(-A(:,not_in_obj)>=0,1);
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% and they enter via a psd matrix in all sdp constraints
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sdp_positive = monotinicity(not_in_obj) == -1;
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% these variables satisffy all constraints
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can_fix = not_in_obj(find(constrained_blow & sdp_positive));
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% these variables are still not fixed
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still_on = find(lb==0 & ub==1);
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% so we can fix these
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fix_up = intersect(can_fix,still_on);
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% These are optimally (or w.l.o.g) set to lower bound
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not_in_obj = find(c>=0);
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% Setting to 1 makes Ax<b increase feasible set for these variables
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constrained_blow = all(A(:,not_in_obj)>=0,1);
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% and they enter via a psd matrix in all sdp constraints
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sdp_positive = monotinicity(not_in_obj) == 1;
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% these variables satisffy all constraints
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can_fix = not_in_obj(find(constrained_blow & sdp_positive));
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% these variables are still not fixed
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still_on = find(lb==0 & ub==1);
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% so we can fix these
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fix_down = intersect(can_fix,still_on);
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