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quadprog++ and Eigen library test
Dependencies: mbed Eigen FastPWM
Diff: quadprog.h
- Revision:
- 2:e843c1b0b25c
diff -r 27f1640d930d -r e843c1b0b25c quadprog.h --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/quadprog.h Tue Sep 24 00:20:12 2019 +0000 @@ -0,0 +1,76 @@ +/* + 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