How to apply Lagrangian multiplier in CPLEX (Matlab)?

06 June 2015 1 6K Report

Im looking for an example of applying Lagrangian multiplier in a matrix form for Linear Programming problem.

My objective function looks like this:

minimize t_5 + Sum_i( Lambda(z_i(+) + z_i(-)) )

t_5 is completion time of the last task and I need to minimise z_i(+) and z_i(-) in such way that one of them becomes 0 and the other one is => 5000

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