1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
|
#ifndef QUADPROG_H
#define QUADPROG_H
#ifdef __cplusplus
extern "C" {
#endif
/*
Quadradic Programming solution.
Based on Luca Di Gaspero's QuadProgpp++, made available under the MIT license.
Translation to C by Graeme W. Gill, Copyright 2017, also licensed under the
MIT license.
*/
/*
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
References: D. Goldfarb, A. Idnani. A numerically stable dual method for solving
strictly convex quadratic programs. Mathematical Programming 27 (1983) pp. 1-33.
*/
#define QP_INFEASIBLE 1.0E300
double quadprog( /* Return solution cost, QP_INFEASIBLE if infeasible/error */
double *x, /* Return x[n] value */
double **G, /* G[n][n] Quadratic combination matrix - modified */
double *g0, /* g0[n] Direct vector */
double **CE, /* CE[n][p] Equality constraint matrix */
double *ce0, /* ce0[p] Equality constraing constants */
double **CI, /* CI[n][m] Constraint matrix */
double *ci0, /* cie[m] Constraint constants */
int n, /* Number of variables */
int p, /* Number of equalities */
int m /* Number of constraints */
);
#ifdef __cplusplus
}
#endif
#endif /*define QUADPROG_H */
|
