Diff: quadprog.h

Revision:

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+++ b/quadprog.h	Mon Oct 14 10:08:13 2019 +0000
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+/*
+ File $Id: QuadProg++.hh 232 2007-06-21 12:29:00Z digasper $ 
+ 
+ The quadprog_solve() function implements the algorithm of Goldfarb and Idnani 
+ for the solution of a (convex) Quadratic Programming problem
+ by means of an active-set dual method.
+     
+The problem is in the form:
+
+min 0.5 * x G x + g0 x
+s.t.
+    CE^T x + ce0 = 0
+    CI^T x + ci0 >= 0
+     
+ The matrix and vectors dimensions are as follows:
+     G: n * n
+        g0: n
+                
+        CE: n * p
+     ce0: p
+                
+      CI: n * m
+   ci0: m
+
+     x: n
+ 
+ The function will return the cost of the solution written in the x vector or
+ std::numeric_limits::infinity() if the problem is infeasible. In the latter case
+ the value of the x vector is not correct.
+ 
+ References: D. Goldfarb, A. Idnani. A numerically stable dual method for solving
+             strictly convex quadratic programs. Mathematical Programming 27 (1983) pp. 1-33.
+
+ Notes:
+  1. pay attention in setting up the vectors ce0 and ci0. 
+       If the constraints of your problem are specified in the form 
+       A^T x = b and C^T x >= d, then you should set ce0 = -b and ci0 = -d.
+  2. The matrices have column dimension equal to MATRIX_DIM, 
+     a constant set to 20 in this file (by means of a #define macro). 
+     If the matrices are bigger than 20 x 20 the limit could be
+         increased by means of a -DMATRIX_DIM=n on the compiler command line.
+  3. The matrix G is modified within the function since it is used to compute
+     the G = L^T L cholesky factorization for further computations inside the function. 
+     If you need the original matrix G you should make a copy of it and pass the copy
+     to the function.
+    
+ Author: Luca Di Gaspero
+             DIEGM - University of Udine, Italy
+                 luca.digaspero@uniud.it
+                 http://www.diegm.uniud.it/digaspero/
+ 
+ The author will be grateful if the researchers using this software will
+ acknowledge the contribution of this function in their research papers.
+ 
+ Copyright (c) 2007-2016 Luca Di Gaspero
+ 
+ This software may be modified and distributed under the terms
+ of the MIT license.  See the LICENSE file for details.
+*/
+
+
+#ifndef _QUADPROGPP
+#define _QUADPROGPP
+
+#include "Array.h"
+
+namespace quadprogpp {
+
+double solve_quadprog(Matrix<double>& G, Vector<double>& g0, 
+                      const Matrix<double>& CE, const Vector<double>& ce0,  
+                      const Matrix<double>& CI, const Vector<double>& ci0, 
+                      Vector<double>& x);
+
+}  // namespace quadprogpp
+
+#endif // #define _QUADPROGPP