File content as of revision 2:e843c1b0b25c:

/*
 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