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I want to find four numbers $a$, $b$, $c$, $d$ of the function $f(x)= \dfrac{a x + b}{c x + d}$ satisfying the conditions $f(-6)=4$, $f(-5)=5$, $f(1)=3$ and $f(2)=2$. I tried

f[x_] := (a x + b)/(c x + d);
Solve[{f[-6] == -4, f[-5] == -5, f[1] == 3, f[2] == 2}, {a, b, c, d}]

But I can not get the result. How to tell Mathematica to do that?

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You have many possible solution satisfying:

Reduce[{f[-6] == -4, f[-5] == -5, f[1] == 3, f[2] == 2}, {a, b, c, d}]

b == -10 a && c == -a && d == -2 a && a != 0

To find a few of those:

FindInstance[{f[-6] == -4, f[-5] == -5, f[1] == 3, f[2] == 2}, {a, b, c, d}, Reals, 5]
{{a -> -235, b -> 2350, c -> 235, d -> 470}, 
 {a -> 415, b -> -4150, c -> -415, d -> -830}, 
{a -> 196, b -> -1960, c -> -196,  d -> -392}, 
{a -> 267, b -> -2670, c -> -267, d -> -534}, 
{a -> -167, b -> 1670, c -> 167, d -> 334}}
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f[x_] := (a x + b)/(c x + d);
Solve[{f[-6] == -4, f[-5] == -5, f[1] == 3, f[2] == 2, 
  Sequence @@ Thread[-50 < {a, b, c, d} < 50]}, {a, b, c, d}, Integers]

(*
{{a -> -4, b -> 40, c -> 4, d -> 8}, 
{a -> -3, b -> 30, c -> 3, d -> 6}, 
{a -> -2, b -> 20, c -> 2, d -> 4},
{a -> -1, b -> 10, c -> 1, d -> 2}, 
{a -> 1, b -> -10, c -> -1, d -> -2}, 
{a -> 2, b -> -20, c -> -2, d -> -4},
{a -> 3, b -> -30, c -> -3, d -> -6}, 
{a -> 4, b -> -40, c -> -4, d -> -8}}
*)
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Your math problem and your code have different conditions f(-6)=4 but f[-6]=-4. The coded conditions lead to an infinite set of solutions as stated by the others. Your math problem does not have any solutions.

First, notice that c and d cannot both be zero, because then you would be dividing by zero. Then compare

f[x_]:=(a x+b)/(c x+d);
Solve[{f[-6]==4,f[-5]==5,f[1]==3,f[2]==2},{a,b,c,d}]

g[x_,y_]:=(a x+b)-y(c x+d)==0;
equations = {g[-6, 4], g[-5, 5], g[1, 3], g[2, 2]};
Solve[equations, {a, b, c, d}]

The first code gives an empty set {}, i.e. the answer is no solution exists.

The second code gives {{a -> 0, b -> 0, c -> 0, d -> 0}}, i.e. only the trivial solution exists. But remember our first condition was that c and d cannot both be zero, so there is no solution.

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