octave-antonio: scripts/optimization/qp.m annotate

annotate scripts/optimization/qp.m @ 20165:f1d0f506ee78 stable

doc: Update more docstrings to have one sentence summary as first line. Reviewed optimization, polynomial, signal script directories. * scripts/optimization/fminbnd.m, scripts/optimization/fminsearch.m, scripts/optimization/fminunc.m, scripts/optimization/fsolve.m, scripts/optimization/fzero.m, scripts/optimization/glpk.m, scripts/optimization/lsqnonneg.m, scripts/optimization/pqpnonneg.m, scripts/optimization/qp.m, scripts/optimization/sqp.m, scripts/polynomial/compan.m, scripts/polynomial/mkpp.m, scripts/polynomial/mpoles.m, scripts/polynomial/pchip.m, scripts/polynomial/poly.m, scripts/polynomial/polyaffine.m, scripts/polynomial/polyder.m, scripts/polynomial/polyeig.m, scripts/polynomial/polyfit.m, scripts/polynomial/polygcd.m, scripts/polynomial/polyint.m, scripts/polynomial/polyout.m, scripts/polynomial/polyval.m, scripts/polynomial/ppder.m, scripts/polynomial/ppint.m, scripts/polynomial/ppjumps.m, scripts/polynomial/ppval.m, scripts/polynomial/residue.m, scripts/polynomial/roots.m, scripts/polynomial/spline.m, scripts/polynomial/splinefit.m, scripts/polynomial/unmkpp.m, scripts/signal/arch_fit.m, scripts/signal/arch_rnd.m, scripts/signal/arma_rnd.m, scripts/signal/autoreg_matrix.m, scripts/signal/bartlett.m, scripts/signal/blackman.m, scripts/signal/detrend.m, scripts/signal/diffpara.m, scripts/signal/durbinlevinson.m, scripts/signal/fftconv.m, scripts/signal/fftfilt.m, scripts/signal/fftshift.m, scripts/signal/filter2.m, scripts/signal/freqz.m, scripts/signal/hamming.m, scripts/signal/hanning.m, scripts/signal/hurst.m, scripts/signal/ifftshift.m, scripts/signal/periodogram.m, scripts/signal/sinc.m, scripts/signal/sinetone.m, scripts/signal/sinewave.m, scripts/signal/spectral_adf.m, scripts/signal/spectral_xdf.m, scripts/signal/spencer.m, scripts/signal/stft.m, scripts/signal/synthesis.m, scripts/signal/unwrap.m, scripts/signal/yulewalker.m: Update more docstrings to have one sentence summary as first line.

author	Rik <rik@octave.org>
date	Mon, 04 May 2015 21:50:57 -0700
parents	9fc020886ae9
children

rev	line source
19697 4197fc428c7d maint: Update copyright notices for 2015. John W. Eaton <jwe@octave.org> parents: 17931 diff changeset	1 ## Copyright (C) 2013-2015 Julien Bect
4197fc428c7d maint: Update copyright notices for 2015. John W. Eaton <jwe@octave.org> parents: 17931 diff changeset	2 ## Copyright (C) 2000-2015 Gabriele Pannocchia.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	3 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	4 ## This file is part of Octave.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	5 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	6 ## Octave is free software; you can redistribute it and/or modify it
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	7 ## under the terms of the GNU General Public License as published by
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6848 diff changeset	8 ## the Free Software Foundation; either version 3 of the License, or (at
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6848 diff changeset	9 ## your option) any later version.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	10 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	11 ## Octave is distributed in the hope that it will be useful, but
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	14 ## General Public License for more details.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	15 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	16 ## You should have received a copy of the GNU General Public License
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6848 diff changeset	17 ## along with Octave; see the file COPYING. If not, see
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6848 diff changeset	18 ## <http://www.gnu.org/licenses/>.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	19
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	20 ## -- texinfo --
10793 be55736a0783 Grammarcheck the documentation from m-files. Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	21 ## @deftypefn {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H})
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	22 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H}, @var{q})
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	23 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H}, @var{q}, @var{A}, @var{b})
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	24 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H}, @var{q}, @var{A}, @var{b}, @var{lb}, @var{ub})
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	25 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H}, @var{q}, @var{A}, @var{b}, @var{lb}, @var{ub}, @var{A_lb}, @var{A_in}, @var{A_ub})
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	26 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@dots{}, @var{options})
20165 f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	27 ## Solve a quadratic program (QP).
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	28 ##
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	29 ## Solve the quadratic program defined by
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	30 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	31 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	32 ## \min_x {1 \over 2} x^T H x + x^T q
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	33 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	34 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	35 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	36 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	37 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	38 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	39 ## min 0.5 x'Hx + x'*q
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	40 ## x
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	41 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	42 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	43 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	44 ## @end ifnottex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	45 ## subject to
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	46 ## @tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	47 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	48 ## Ax = b \qquad lb \leq x \leq ub \qquad A_{lb} \leq A_{in} \leq A_{ub}
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	49 ## $$
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	50 ## @end tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	51 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	52 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	53 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	54 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	55 ## A*x = b
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	56 ## lb <= x <= ub
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	57 ## A_lb <= A_in*x <= A_ub
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	58 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	59 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	60 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6526 diff changeset	61 ## @end ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	62 ## @noindent
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	63 ## using a null-space active-set method.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	64 ##
20165 f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	65 ## Any bound (@var{A}, @var{b}, @var{lb}, @var{ub}, @var{A_lb}, @var{A_ub})
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	66 ## may be set to the empty matrix (@code{[]}) if not present. If the initial
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	67 ## guess is feasible the algorithm is faster.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	68 ##
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	69 ## @table @var
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	70 ## @item options
20165 f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	71 ## An optional structure containing the following parameter(s) used to define
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	72 ## the behavior of the solver. Missing elements in the structure take on
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	73 ## default values, so you only need to set the elements that you wish to
f1d0f506ee78 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19833 diff changeset	74 ## change from the default.
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	75 ##
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	76 ## @table @code
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	77 ## @item MaxIter (default: 200)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	78 ## Maximum number of iterations.
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	79 ## @end table
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	80 ## @end table
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	81 ##
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	82 ## @table @var
693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	83 ## @item info
693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	84 ## Structure containing run-time information about the algorithm. The
693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	85 ## following fields are defined:
693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	86 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	87 ## @table @code
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	88 ## @item solveiter
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	89 ## The number of iterations required to find the solution.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	90 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	91 ## @item info
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	92 ## An integer indicating the status of the solution.
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	93 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	94 ## @table @asis
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	95 ## @item 0
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	96 ## The problem is feasible and convex. Global solution found.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	97 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	98 ## @item 1
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	99 ## The problem is not convex. Local solution found.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	100 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	101 ## @item 2
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	102 ## The problem is not convex and unbounded.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	103 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	104 ## @item 3
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	105 ## Maximum number of iterations reached.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	106 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	107 ## @item 6
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	108 ## The problem is infeasible.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	109 ## @end table
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	110 ## @end table
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10793 diff changeset	111 ## @end table
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	112 ## @end deftypefn
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	113
13027 b9a89ca0fb75 prevent optimization functions from setting ans in workspace at startup John W. Eaton <jwe@octave.org> parents: 11589 diff changeset	114 ## PKG_ADD: ## Discard result to avoid polluting workspace with ans at startup.
b9a89ca0fb75 prevent optimization functions from setting ans in workspace at startup John W. Eaton <jwe@octave.org> parents: 11589 diff changeset	115 ## PKG_ADD: [~] = __all_opts__ ("qp");
10060 8f51a90eb8d1 implement default opts query and register opts for qp Jaroslav Hajek <highegg@gmail.com> parents: 10059 diff changeset	116
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	117 function [x, obj, INFO, lambda] = qp (x0, H, varargin)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	118
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	119 nargs = nargin;
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	120
10060 8f51a90eb8d1 implement default opts query and register opts for qp Jaroslav Hajek <highegg@gmail.com> parents: 10059 diff changeset	121 if (nargin == 1 && ischar (x0) && strcmp (x0, 'defaults'))
8f51a90eb8d1 implement default opts query and register opts for qp Jaroslav Hajek <highegg@gmail.com> parents: 10059 diff changeset	122 x = optimset ("MaxIter", 200);
8f51a90eb8d1 implement default opts query and register opts for qp Jaroslav Hajek <highegg@gmail.com> parents: 10059 diff changeset	123 return;
8f51a90eb8d1 implement default opts query and register opts for qp Jaroslav Hajek <highegg@gmail.com> parents: 10059 diff changeset	124 endif
8f51a90eb8d1 implement default opts query and register opts for qp Jaroslav Hajek <highegg@gmail.com> parents: 10059 diff changeset	125
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	126 if (nargs > 2 && isstruct (varargin{end}))
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	127 options = varargin{end};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	128 nargs--;
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	129 else
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	130 options = struct ();
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	131 endif
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	132
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	133 if (nargs >= 3)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	134 q = varargin{1};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	135 else
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	136 q = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	137 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	138
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	139 if (nargs >= 5)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	140 A = varargin{2};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	141 b = varargin{3};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	142 else
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	143 A = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	144 b = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	145 endif
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	146
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	147 if (nargs >= 7)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	148 lb = varargin{4};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	149 ub = varargin{5};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	150 else
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	151 lb = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	152 ub = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	153 endif
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	154
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	155 if (nargs == 10)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	156 A_lb = varargin{6};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	157 A_in = varargin{7};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	158 A_ub = varargin{8};
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	159 else
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	160 A_lb = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	161 A_in = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	162 A_ub = [];
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	163 endif
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	164
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	165 if (nargs == 2 \|\| nargs == 3 \|\| nargs == 5 \|\| nargs == 7 \|\| nargs == 10)
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	166
10064 17ce2a700a97 qp.m: Add missing semicolon. Ben Abbott <bpabbott@mac.com> parents: 10060 diff changeset	167 maxit = optimget (options, "MaxIter", 200);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	168
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	169 ## Checking the quadratic penalty
9872 72d6e0de76c7 fix qp, condest and krylov Jaroslav Hajek <highegg@gmail.com> parents: 9211 diff changeset	170 if (! issquare (H))
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	171 error ("qp: quadratic penalty matrix not square");
9872 72d6e0de76c7 fix qp, condest and krylov Jaroslav Hajek <highegg@gmail.com> parents: 9211 diff changeset	172 elseif (! ishermitian (H))
72d6e0de76c7 fix qp, condest and krylov Jaroslav Hajek <highegg@gmail.com> parents: 9211 diff changeset	173 ## warning ("qp: quadratic penalty matrix not hermitian");
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	174 H = (H + H')/2;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	175 endif
9872 72d6e0de76c7 fix qp, condest and krylov Jaroslav Hajek <highegg@gmail.com> parents: 9211 diff changeset	176 n = rows (H);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	177
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	178 ## Checking the initial guess (if empty it is resized to the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	179 ## right dimension and filled with 0)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	180 if (isempty (x0))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	181 x0 = zeros (n, 1);
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	182 elseif (numel (x0) != n)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	183 error ("qp: the initial guess has incorrect length");
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	184 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	185
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	186 ## Linear penalty.
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	187 if (isempty (q))
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	188 q = zeros (n, 1);
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	189 elseif (numel (q) != n)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	190 error ("qp: the linear term has incorrect length");
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	191 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	192
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	193 ## Equality constraint matrices
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	194 if (isempty (A) \|\| isempty (b))
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	195 A = zeros (0, n);
665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	196 b = zeros (0, 1);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	197 n_eq = 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	198 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	199 [n_eq, n1] = size (A);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	200 if (n1 != n)
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	201 error ("qp: equality constraint matrix has incorrect column dimension");
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	202 endif
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	203 if (numel (b) != n_eq)
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	204 error ("qp: equality constraint matrix and vector have inconsistent dimension");
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	205 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	206 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	207
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	208 ## Bound constraints
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	209 Ain = zeros (0, n);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	210 bin = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	211 n_in = 0;
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	212 if (nargs > 5)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	213 if (! isempty (lb))
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	214 if (numel (lb) != n)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	215 error ("qp: lower bound has incorrect length");
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	216 elseif (isempty (ub))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	217 Ain = [Ain; eye(n)];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	218 bin = [bin; lb];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	219 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	220 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	221
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	222 if (! isempty (ub))
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	223 if (numel (ub) != n)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	224 error ("qp: upper bound has incorrect length");
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	225 elseif (isempty (lb))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	226 Ain = [Ain; -eye(n)];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	227 bin = [bin; -ub];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	228 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	229 endif
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	230
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	231 if (! isempty (lb) && ! isempty (ub))
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	232 rtol = sqrt (eps);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	233 for i = 1:n
14868 5d3a684236b0 maint: Use Octave coding conventions for cuddling parentheses in scripts directory Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	234 if (abs (lb (i) - ub(i)) < rtol*(1 + max (abs (lb(i) + ub(i)))))
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	235 ## These are actually an equality constraint
14868 5d3a684236b0 maint: Use Octave coding conventions for cuddling parentheses in scripts directory Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	236 tmprow = zeros (1,n);
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	237 tmprow(i) = 1;
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	238 A = [A;tmprow];
5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	239 b = [b; 0.5*(lb(i) + ub(i))];
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	240 n_eq = n_eq + 1;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	241 else
14868 5d3a684236b0 maint: Use Octave coding conventions for cuddling parentheses in scripts directory Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	242 tmprow = zeros (1,n);
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	243 tmprow(i) = 1;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	244 Ain = [Ain; tmprow; -tmprow];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	245 bin = [bin; lb(i); -ub(i)];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	246 n_in = n_in + 2;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	247 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	248 endfor
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	249 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	250 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	251
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	252 ## Inequality constraints
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	253 if (nargs > 7)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	254 [dimA_in, n1] = size (A_in);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	255 if (n1 != n)
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	256 error ("qp: inequality constraint matrix has incorrect column dimension");
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	257 else
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	258 if (! isempty (A_lb))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	259 if (numel (A_lb) != dimA_in)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	260 error ("qp: inequality constraint matrix and lower bound vector inconsistent");
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	261 elseif (isempty (A_ub))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	262 Ain = [Ain; A_in];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	263 bin = [bin; A_lb];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	264 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	265 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	266 if (! isempty (A_ub))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	267 if (numel (A_ub) != dimA_in)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	268 error ("qp: inequality constraint matrix and upper bound vector inconsistent");
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	269 elseif (isempty (A_lb))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	270 Ain = [Ain; -A_in];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	271 bin = [bin; -A_ub];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	272 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	273 endif
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	274
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	275 if (! isempty (A_lb) && ! isempty (A_ub))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	276 rtol = sqrt (eps);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	277 for i = 1:dimA_in
19833 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19697 diff changeset	278 if (abs (A_lb(i) - A_ub(i))
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19697 diff changeset	279 < rtol*(1 + max (abs (A_lb(i) + A_ub(i)))))
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	280 ## These are actually an equality constraint
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	281 tmprow = A_in(i,:);
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	282 A = [A;tmprow];
5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	283 b = [b; 0.5*(A_lb(i) + A_ub(i))];
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	284 n_eq = n_eq + 1;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	285 else
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	286 tmprow = A_in(i,:);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	287 Ain = [Ain; tmprow; -tmprow];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	288 bin = [bin; A_lb(i); -A_ub(i)];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	289 n_in = n_in + 2;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	290 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	291 endfor
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	292 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	293 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	294 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	295
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	296 ## Now we should have the following QP:
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	297 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	298 ## min_x 0.5x'Hx + x'q
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	299 ## s.t. A*x = b
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	300 ## Ain*x >= bin
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	301
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	302 ## Discard inequality constraints that have -Inf bounds since those
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	303 ## will never be active.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	304 idx = isinf (bin) & bin < 0;
6523 589c8dbba916 [project @ 2007-04-12 19:06:44 by jwe] jwe parents: 6417 diff changeset	305
6526 2a715c6409a5 [project @ 2007-04-13 20:31:50 by jwe] jwe parents: 6523 diff changeset	306 bin(idx) = [];
2a715c6409a5 [project @ 2007-04-13 20:31:50 by jwe] jwe parents: 6523 diff changeset	307 Ain(idx,:) = [];
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	308
10059 665ad34efeed qp.m: handle optimset options Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org> parents: 9872 diff changeset	309 n_in = numel (bin);
5310 2fbcdc356fc7 [project @ 2005-04-27 15:38:53 by jwe] jwe parents: 5307 diff changeset	310
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	311 ## Check if the initial guess is feasible.
19833 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19697 diff changeset	312 if (isa (x0, "single") \|\| isa (H, "single") \|\| isa (q, "single")
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19697 diff changeset	313 \|\| isa (A, "single") \|\| isa (b, "single"))
7795 df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	314 rtol = sqrt (eps ("single"));
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	315 else
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	316 rtol = sqrt (eps);
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	317 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	318
8280 5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	319 eq_infeasible = (n_eq > 0 && norm (Ax0-b) > rtol(1+abs (b)));
5ee11a81688e qp.m: convert b <= x <= b and b <= Ax <= b to equality constraints Gabriele Pannocchia <g.pannocchia@ing.unipi.it>* parents: 7795 diff changeset	320 in_infeasible = (n_in > 0 && any (Ainx0-bin < -rtol(1+abs (bin))));
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	321
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	322 info = 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	323 if (eq_infeasible \|\| in_infeasible)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	324 ## The initial guess is not feasible.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	325 ## First define xbar that is feasible with respect to the equality
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	326 ## constraints.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	327 if (eq_infeasible)
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	328 if (rank (A) < n_eq)
11589 b0084095098e missing semicolons in script files John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	329 error ("qp: equality constraint matrix must be full row rank");
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	330 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	331 xbar = pinv (A) * b;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	332 else
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	333 xbar = x0;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	334 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	335
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	336 ## Check if xbar is feasible with respect to the inequality
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	337 ## constraints also.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	338 if (n_in > 0)
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	339 res = Ain * xbar - bin;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	340 if (any (res < -rtol * (1 + abs (bin))))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	341 ## xbar is not feasible with respect to the inequality
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	342 ## constraints. Compute a step in the null space of the
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	343 ## equality constraints, by solving a QP. If the slack is
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	344 ## small, we have a feasible initial guess. Otherwise, the
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	345 ## problem is infeasible.
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	346 if (n_eq > 0)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	347 Z = null (A);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	348 if (isempty (Z))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	349 ## The problem is infeasible because A is square and full
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	350 ## rank, but xbar is not feasible.
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	351 info = 6;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	352 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	353 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	354
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	355 if (info != 6)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	356 ## Solve an LP with additional slack variables to find
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	357 ## a feasible starting point.
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	358 gamma = eye (n_in);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	359 if (n_eq > 0)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	360 Atmp = [Ain*Z, gamma];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	361 btmp = -res;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	362 else
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	363 Atmp = [Ain, gamma];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	364 btmp = bin;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	365 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	366 ctmp = [zeros(n-n_eq, 1); ones(n_in, 1)];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	367 lb = [-Inf(n-n_eq,1); zeros(n_in,1)];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	368 ub = [];
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	369 ctype = repmat ("L", n_in, 1);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	370 [P, dummy, status] = glpk (ctmp, Atmp, btmp, lb, ub, ctype);
17897 185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	371 if ((status == 0)
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	372 && all (abs (P(n-n_eq+1:end)) < rtol * (1 + norm (btmp))))
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	373 ## We found a feasible starting point
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	374 if (n_eq > 0)
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	375 x0 = xbar + Z*P(1:n-n_eq);
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	376 else
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	377 x0 = P(1:n);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	378 endif
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	379 else
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	380 ## The problem is infeasible
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	381 info = 6;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	382 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	383 endif
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	384 else
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	385 ## xbar is feasible. We use it a starting point.
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	386 x0 = xbar;
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	387 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	388 else
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	389 ## xbar is feasible. We use it a starting point.
95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10540 diff changeset	390 x0 = xbar;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	391 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	392 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	393
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	394 if (info == 0)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	395 ## The initial (or computed) guess is feasible.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	396 ## We call the solver.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	397 [x, lambda, info, iter] = __qp__ (x0, H, q, A, b, Ain, bin, maxit);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	398 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	399 iter = 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	400 x = x0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	401 lambda = [];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	402 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	403 obj = 0.5 * x' * H * x + q' * x;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	404 INFO.solveiter = iter;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	405 INFO.info = info;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	406
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	407 else
6046 34f96dd5441b [project @ 2006-10-10 16:10:25 by jwe] jwe parents: 5310 diff changeset	408 print_usage ();
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	409 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	410
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	411 endfunction
17338 1c89599167a6 maint: End m-files with 1 blank line. Rik <rik@octave.org> parents: 14868 diff changeset	412
17897 185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	413
19833 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19697 diff changeset	414 ## Test infeasible initial guess (bug #40536)
17931 a404853d2073 qp.m: Condition test on HAVE_GLPK Mike Miller <mtmiller@ieee.org> parents: 17897 diff changeset	415 %!testif HAVE_GLPK
17897 185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	416 %!
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	417 %! H = 1; q = 0; # objective: x -> 0.5 x^2
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	418 %! A = 1; lb = 1; ub = +inf; # constraint: x >= 1
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	419 %! x0 = 0; # infeasible initial guess
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	420 %!
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	421 %! [x, obj_qp, INFO, lambda] = qp (x0, H, q, [], [], [], [], lb, A, ub);
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	422 %!
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	423 %! assert (isstruct (INFO) && isfield (INFO, "info") && (INFO.info == 0));
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	424 %! assert ([x obj_qp], [1.0 0.5], eps);
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536) Julien Bect <julien.bect@supelec.fr> parents: 17744 diff changeset	425

Mercurial > octave-antonio

annotate scripts/optimization/qp.m @ 20165:f1d0f506ee78 stable