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#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 */
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