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annotate scripts/optimization/qp.m @ 20298:5c088348fddb

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qp.m: Overhaul function (fixes bug #45324). * qp.m: Put input validation first. Validate both x0 and q are vectors. Transform x0 and q to column vectors for rest of computation (bug #45324). Use double quotes instead of single to match Octave coding conventions. Re-wrap multi-line comments to break at meaningful boundaries. Use isargout to avoid calculating unnecessary outputs.
author Rik <rik@octave.org>
date Mon, 15 Jun 2015 21:56:34 +0200
parents 83792dd9bcc1
children
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1 ## Copyright (C) 2013-2015 Julien Bect
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2 ## Copyright (C) 2000-2015 Gabriele Pannocchia.
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3 ##
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4 ## This file is part of Octave.
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5 ##
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6 ## Octave is free software; you can redistribute it and/or modify it
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7 ## under the terms of the GNU General Public License as published by
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8 ## the Free Software Foundation; either version 3 of the License, or (at
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9 ## your option) any later version.
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10 ##
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11 ## Octave is distributed in the hope that it will be useful, but
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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14 ## General Public License for more details.
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15 ##
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16 ## You should have received a copy of the GNU General Public License
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17 ## along with Octave; see the file COPYING. If not, see
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18 ## <http://www.gnu.org/licenses/>.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H})
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22 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H}, @var{q})
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23 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@var{x0}, @var{H}, @var{q}, @var{A}, @var{b})
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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})
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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})
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26 ## @deftypefnx {Function File} {[@var{x}, @var{obj}, @var{info}, @var{lambda}] =} qp (@dots{}, @var{options})
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27 ## Solve a quadratic program (QP).
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28 ##
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29 ## Solve the quadratic program defined by
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30 ## @tex
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31 ## $$
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32 ## \min_x {1 \over 2} x^T H x + x^T q
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33 ## $$
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34 ## @end tex
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35 ## @ifnottex
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36 ##
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37 ## @example
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38 ## @group
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39 ## min 0.5 x'*H*x + x'*q
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40 ## x
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41 ## @end group
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42 ## @end example
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43 ##
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44 ## @end ifnottex
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45 ## subject to
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46 ## @tex
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47 ## $$
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48 ## Ax = b \qquad lb \leq x \leq ub \qquad A_{lb} \leq A_{in} \leq A_{ub}
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49 ## $$
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50 ## @end tex
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51 ## @ifnottex
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52 ##
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53 ## @example
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54 ## @group
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55 ## A*x = b
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56 ## lb <= x <= ub
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57 ## A_lb <= A_in*x <= A_ub
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58 ## @end group
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59 ## @end example
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60 ##
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61 ## @end ifnottex
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62 ## @noindent
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63 ## using a null-space active-set method.
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64 ##
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65 ## Any bound (@var{A}, @var{b}, @var{lb}, @var{ub}, @var{A_lb}, @var{A_ub})
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66 ## may be set to the empty matrix (@code{[]}) if not present. If the initial
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67 ## guess is feasible the algorithm is faster.
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68 ##
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69 ## @table @var
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70 ## @item options
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71 ## An optional structure containing the following parameter(s) used to define
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72 ## the behavior of the solver. Missing elements in the structure take on
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73 ## default values, so you only need to set the elements that you wish to
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74 ## change from the default.
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75 ##
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76 ## @table @code
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77 ## @item MaxIter (default: 200)
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78 ## Maximum number of iterations.
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79 ## @end table
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80 ## @end table
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81 ##
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82 ## @table @var
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83 ## @item info
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84 ## Structure containing run-time information about the algorithm. The
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85 ## following fields are defined:
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86 ##
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87 ## @table @code
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88 ## @item solveiter
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89 ## The number of iterations required to find the solution.
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90 ##
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91 ## @item info
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92 ## An integer indicating the status of the solution.
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93 ##
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94 ## @table @asis
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95 ## @item 0
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96 ## The problem is feasible and convex. Global solution found.
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97 ##
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98 ## @item 1
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99 ## The problem is not convex. Local solution found.
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100 ##
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101 ## @item 2
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102 ## The problem is not convex and unbounded.
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103 ##
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104 ## @item 3
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105 ## Maximum number of iterations reached.
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106 ##
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107 ## @item 6
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108 ## The problem is infeasible.
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109 ## @end table
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110 ## @end table
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111 ## @end table
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112 ## @end deftypefn
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113
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114 ## PKG_ADD: ## Discard result to avoid polluting workspace with ans at startup.
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115 ## PKG_ADD: [~] = __all_opts__ ("qp");
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116
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117 function [x, obj, INFO, lambda] = qp (x0, H, varargin)
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118
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119 if (nargin == 1 && ischar (x0) && strcmp (x0, "defaults"))
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120 x = optimset ("MaxIter", 200);
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121 return;
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122 endif
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123
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124 nargs = nargin;
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125 if (nargs > 2 && isstruct (varargin{end}))
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126 options = varargin{end};
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127 nargs--;
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128 else
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129 options = struct ();
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130 endif
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131
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132 if (nargs != 2 && nargs != 3 && nargs != 5 && nargs != 7 && nargs != 10)
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133 print_usage ();
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diff changeset
134 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
135
10059
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Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
136 if (nargs >= 3)
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
137 q = varargin{1};
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
138 else
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
139 q = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
140 endif
5289
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jwe
parents:
diff changeset
141
10059
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
142 if (nargs >= 5)
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
143 A = varargin{2};
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
144 b = varargin{3};
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
145 else
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
146 A = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
147 b = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
148 endif
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
149
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
150 if (nargs >= 7)
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
151 lb = varargin{4};
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
152 ub = varargin{5};
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
153 else
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
154 lb = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
155 ub = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
156 endif
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
157
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
158 if (nargs == 10)
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
159 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
160 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
161 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
162 else
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
163 A_lb = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
164 A_in = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
165 A_ub = [];
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
166 endif
665ad34efeed qp.m: handle optimset options
Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
167
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
168 maxit = optimget (options, "MaxIter", 200);
5289
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parents:
diff changeset
169
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
170 ## Validate the quadratic penalty.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
171 if (! issquare (H))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
172 error ("qp: quadratic penalty matrix must be square");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
173 elseif (! ishermitian (H))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
174 ## warning ("qp: quadratic penalty matrix not hermitian");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
175 H = (H + H')/2;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
176 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
177 n = rows (H);
5289
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parents:
diff changeset
178
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
179 ## Validate the initial guess.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
180 ## If empty it is resized to the right dimension and filled with 0.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
181 if (isempty (x0))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
182 x0 = zeros (n, 1);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
183 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
184 if (! isvector (x0))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
185 error ("qp: the initial guess X0 must be a vector");
10059
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Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
186 elseif (numel (x0) != n)
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
187 error ("qp: the initial guess X0 has incorrect length");
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
188 endif
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
189 x0 = x0(:); # always use column vector.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
190 endif
5289
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jwe
parents:
diff changeset
191
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
192 ## Validate linear penalty.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
193 if (isempty (q))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
194 q = zeros (n, 1);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
195 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
196 if (! isvector (q))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
197 error ("qp: Q must be a vector");
10059
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Joshua Redstone <redstone@gmail.com>, John W. Eaton <jwe@octave.org>
parents: 9872
diff changeset
198 elseif (numel (q) != n)
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
199 error ("qp: Q has incorrect length");
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
200 endif
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
201 q = q(:); # always use column vector.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
202 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
203
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
204 ## Validate equality constraint matrices.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
205 if (isempty (A) || isempty (b))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
206 A = zeros (0, n);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
207 b = zeros (0, 1);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
208 n_eq = 0;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
209 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
210 [n_eq, n1] = size (A);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
211 if (n1 != n)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
212 error ("qp: equality constraint matrix has incorrect column dimension");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
213 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
214 if (numel (b) != n_eq)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
215 error ("qp: equality constraint matrix and vector have inconsistent dimensions");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
216 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
217 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
218
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
219 ## Validate bound constraints.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
220 Ain = zeros (0, n);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
221 bin = zeros (0, 1);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
222 n_in = 0;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
223 if (nargs > 5)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
224 if (! isempty (lb))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
225 if (numel (lb) != n)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
226 error ("qp: lower bound LB has incorrect length");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
227 elseif (isempty (ub))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
228 Ain = [Ain; eye(n)];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
229 bin = [bin; lb];
5289
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jwe
parents:
diff changeset
230 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
231 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
232
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
233 if (! isempty (ub))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
234 if (numel (ub) != n)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
235 error ("qp: upper bound UB has incorrect length");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
236 elseif (isempty (lb))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
237 Ain = [Ain; -eye(n)];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
238 bin = [bin; -ub];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
239 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
240 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
241
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
242 if (! isempty (lb) && ! isempty (ub))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
243 rtol = sqrt (eps);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
244 for i = 1:n
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
245 if (abs (lb (i) - ub(i)) < rtol*(1 + max (abs (lb(i) + ub(i)))))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
246 ## These are actually an equality constraint
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
247 tmprow = zeros (1,n);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
248 tmprow(i) = 1;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
249 A = [A;tmprow];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
250 b = [b; 0.5*(lb(i) + ub(i))];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
251 n_eq += 1;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
252 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
253 tmprow = zeros (1,n);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
254 tmprow(i) = 1;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
255 Ain = [Ain; tmprow; -tmprow];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
256 bin = [bin; lb(i); -ub(i)];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
257 n_in += 2;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
258 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
259 endfor
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
260 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
261 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
262
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
263 ## Validate inequality constraints.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
264 if (nargs > 7)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
265 [dimA_in, n1] = size (A_in);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
266 if (n1 != n)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
267 error ("qp: inequality constraint matrix has incorrect column dimension");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
268 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
269 if (! isempty (A_lb))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
270 if (numel (A_lb) != dimA_in)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
271 error ("qp: inequality constraint matrix and lower bound vector are inconsistent");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
272 elseif (isempty (A_ub))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
273 Ain = [Ain; A_in];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
274 bin = [bin; A_lb];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
275 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
276 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
277 if (! isempty (A_ub))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
278 if (numel (A_ub) != dimA_in)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
279 error ("qp: inequality constraint matrix and upper bound vector are inconsistent");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
280 elseif (isempty (A_lb))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
281 Ain = [Ain; -A_in];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
282 bin = [bin; -A_ub];
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
283 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
284 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
285
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
286 if (! isempty (A_lb) && ! isempty (A_ub))
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
287 rtol = sqrt (eps);
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
288 for i = 1:dimA_in
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
289 if (abs (A_lb(i) - A_ub(i))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
290 < rtol*(1 + max (abs (A_lb(i) + A_ub(i)))))
8280
5ee11a81688e qp.m: convert b <= x <= b and b <= A*x <= b to equality constraints
Gabriele Pannocchia <g.pannocchia@ing.unipi.it>
parents: 7795
diff changeset
291 ## These are actually an equality constraint
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
292 tmprow = A_in(i,:);
8280
5ee11a81688e qp.m: convert b <= x <= b and b <= A*x <= b to equality constraints
Gabriele Pannocchia <g.pannocchia@ing.unipi.it>
parents: 7795
diff changeset
293 A = [A;tmprow];
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
294 b = [b; 0.5*(A_lb(i) + A_ub(i))];
20266
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20200
diff changeset
295 n_eq += 1;
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
296 else
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
297 tmprow = A_in(i,:);
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
298 Ain = [Ain; tmprow; -tmprow];
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
299 bin = [bin; A_lb(i); -A_ub(i)];
20266
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20200
diff changeset
300 n_in += 2;
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
301 endif
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
302 endfor
8280
5ee11a81688e qp.m: convert b <= x <= b and b <= A*x <= b to equality constraints
Gabriele Pannocchia <g.pannocchia@ing.unipi.it>
parents: 7795
diff changeset
303 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
304 endif
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
305 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
306
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
307 ## Now we should have the following QP:
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
308 ##
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
309 ## min_x 0.5*x'*H*x + x'*q
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
310 ## s.t. A*x = b
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
311 ## Ain*x >= bin
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
312
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
313 ## Discard inequality constraints that have -Inf bounds since those
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
314 ## will never be active.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
315 idx = (bin == -Inf);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
316
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
317 bin(idx) = [];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
318 Ain(idx,:) = [];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
319
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
320 n_in = numel (bin);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
321
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
322 ## Check if the initial guess is feasible.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
323 if (isa (x0, "single") || isa (H, "single") || isa (q, "single")
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
324 || isa (A, "single") || isa (b, "single"))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
325 rtol = sqrt (eps ("single"));
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
326 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
327 rtol = sqrt (eps);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
328 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
329
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
330 eq_infeasible = (n_eq > 0 && norm (A*x0-b) > rtol*(1+abs (b)));
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
331 in_infeasible = (n_in > 0 && any (Ain*x0-bin < -rtol*(1+abs (bin))));
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
332
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
333 info = 0;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
334 if (eq_infeasible || in_infeasible)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
335 ## The initial guess is not feasible.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
336 ## First, define an xbar that is feasible with respect to the
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
337 ## equality constraints.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
338 if (eq_infeasible)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
339 if (rank (A) < n_eq)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
340 error ("qp: equality constraint matrix must be full row rank");
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
341 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
342 xbar = pinv (A) * b;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
343 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
344 xbar = x0;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
345 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
346
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
347 ## Second, check that xbar is also feasible with respect to the
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
348 ## inequality constraints.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
349 if (n_in > 0)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
350 res = Ain * xbar - bin;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
351 if (any (res < -rtol * (1 + abs (bin))))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
352 ## xbar is not feasible with respect to the inequality constraints.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
353 ## Compute a step in the null space of the equality constraints,
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
354 ## by solving a QP. If the slack is small, we have a feasible initial
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
355 ## guess. Otherwise, the problem is infeasible.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
356 if (n_eq > 0)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
357 Z = null (A);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
358 if (isempty (Z))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
359 ## The problem is infeasible because A is square and full rank,
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
360 ## but xbar is not feasible.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
361 info = 6;
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
362 endif
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
363 endif
11587
c792872f8942 all script files: untabify and strip trailing whitespace
John W. Eaton <jwe@octave.org>
parents: 11523
diff changeset
364
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
365 if (info != 6)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
366 ## Solve an LP with additional slack variables
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
367 ## to find a feasible starting point.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
368 gamma = eye (n_in);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
369 if (n_eq > 0)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
370 Atmp = [Ain*Z, gamma];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
371 btmp = -res;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
372 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
373 Atmp = [Ain, gamma];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
374 btmp = bin;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
375 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
376 ctmp = [zeros(n-n_eq, 1); ones(n_in, 1)];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
377 lb = [-Inf(n-n_eq,1); zeros(n_in,1)];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
378 ub = [];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
379 ctype = repmat ("L", n_in, 1);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
380 [P, dummy, status] = glpk (ctmp, Atmp, btmp, lb, ub, ctype);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
381 if ((status == 0)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
382 && all (abs (P(n-n_eq+1:end)) < rtol * (1 + norm (btmp))))
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
383 ## We found a feasible starting point
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
384 if (n_eq > 0)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
385 x0 = xbar + Z*P(1:n-n_eq);
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
386 else
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
387 x0 = P(1:n);
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
388 endif
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
389 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
390 ## The problem is infeasible
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
391 info = 6;
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
392 endif
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
393 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
394 else
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
395 ## xbar is feasible. We use it a starting point.
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10540
diff changeset
396 x0 = xbar;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
397 endif
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
398 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
399 ## xbar is feasible. We use it a starting point.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
400 x0 = xbar;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
401 endif
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
402 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
403
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
404 if (info == 0)
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
405 ## The initial (or computed) guess is feasible. Call the solver.
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
406 [x, lambda, info, iter] = __qp__ (x0, H, q, A, b, Ain, bin, maxit);
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
407 else
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
408 iter = 0;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
409 x = x0;
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
410 lambda = [];
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
411 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
412 if (isargout (2))
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
413 obj = 0.5 * x' * H * x + q' * x;
20298
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
414 endif
5c088348fddb qp.m: Overhaul function (fixes bug #45324).
Rik <rik@octave.org>
parents: 20266
diff changeset
415 if (isargout (3))
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
416 INFO.solveiter = iter;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
417 INFO.info = info;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
418 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
419
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
420 endfunction
17338
1c89599167a6 maint: End m-files with 1 blank line.
Rik <rik@octave.org>
parents: 14868
diff changeset
421
17897
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536)
Julien Bect <julien.bect@supelec.fr>
parents: 17744
diff changeset
422
19867
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19731
diff changeset
423 ## Test infeasible initial guess (bug #40536)
17931
a404853d2073 qp.m: Condition test on HAVE_GLPK
Mike Miller <mtmiller@ieee.org>
parents: 17897
diff changeset
424 %!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
425 %!
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536)
Julien Bect <julien.bect@supelec.fr>
parents: 17744
diff changeset
426 %! 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
427 %! 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
428 %! 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
429 %!
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536)
Julien Bect <julien.bect@supelec.fr>
parents: 17744
diff changeset
430 %! [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
431 %!
185038fe7a16 qp.m: Fix test on GLPK's return status (bug #40536)
Julien Bect <julien.bect@supelec.fr>
parents: 17744
diff changeset
432 %! 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
433 %! 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
434