annotate scripts/optimization/sqp.m @ 5307:4c8a2e4e0717

[project @ 2005-04-26 19:24:27 by jwe]
author jwe
date Tue, 26 Apr 2005 19:24:47 +0000
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children 2618a0750ae6
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1 ## Copyright (C) 2005 John W. Eaton
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 2, or (at your option)
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8 ## any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, write to the Free
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17 ## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
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18 ## 02110-1301, USA.
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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{iter}, @var{nf}, @var{lambda}] =} sqp (@var{x}, @var{phi}, @var{g}, @var{h})
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22 ## Solve the nonlinear program
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23 ## @ifinfo
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24 ##
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25 ## @example
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26 ## min phi (x)
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27 ## x
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28 ## @end example
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29 ##
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30 ## @end ifinfo
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31 ## @iftex
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32 ## @tex
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33 ## @end tex
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34 ## @end iftex
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35 ## subject to
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36 ## @ifinfo
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37 ##
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38 ## @example
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39 ## g(x) = 0
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40 ## h(x) >= 0
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41 ## @end example
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42 ## @end ifinfo
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43 ## @iftex
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44 ## @tex
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45 ## @end tex
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46 ## @end iftex
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47 ##
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48 ## @noindent
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49 ## using a successive quadratic programming method.
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50 ##
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51 ## The first argument is the initial guess for the vector @var{x}.
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52 ##
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53 ## The second argument is a function handle pointing to the ojective
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54 ## function. The objective function must be of the form
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55 ##
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56 ## @example
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57 ## y = phi (x)
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58 ## @end example
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59 ##
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60 ## @noindent
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61 ## in which @var{x} is a vector and @var{y} is a scalar.
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62 ##
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63 ## The second argument may also be a 2- or 3-element cell array of
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64 ## function handles. The first element should point to the objective
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65 ## function, the second should point to a function that computes the
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66 ## gradient of the objective function, and the third should point to a
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67 ## function to compute the hessian of the objective function. If the
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68 ## gradient function is not supplied, the gradient is computed by finite
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69 ## differences. If the hessian function is not supplied, a BFGS update
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70 ## formula is used to approximate the hessian.
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71 ##
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72 ## If supplied, the gradient function must be of the form
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73 ##
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74 ## @example
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75 ## g = gradient (x)
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76 ## @end example
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77 ##
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78 ## @noindent
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79 ## in which @var{x} is a vector and @var{g} is a vector.
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80 ##
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81 ## If supplied, the hessian function must be of the form
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82 ##
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83 ## @example
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84 ## h = hessian (x)
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85 ## @end example
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86 ##
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87 ## @noindent
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88 ## in which @var{x} is a vector and @var{h} is a matrix.
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89 ##
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90 ## The third and fourth arguments are function handles pointing to
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91 ## functions that compute the equality constraints and the inequality
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92 ## constraints, respectively.
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93 ##
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94 ## If your problem does not have equality (or inequality) constraints,
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95 ## you may pass an empty matrix for @var{cef} (or @var{cif}).
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96 ##
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97 ## If supplied, the equality and inequality constraint functions must be
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98 ## of the form
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99 ##
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100 ## @example
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101 ## r = f (x)
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102 ## @end example
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103 ##
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104 ## @noindent
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105 ## in which @var{x} is a vector and @var{r} is a vector.
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106 ##
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107 ## The third and fourth arguments may also be 2-element cell arrays of
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108 ## function handles. The first element should point to the constraint
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109 ## function and the second should point to a function that computes the
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110 ## gradient of the constraint function:
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111 ##
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112 ## @example
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113 ## [ d f(x) d f(x) d f(x) ]
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114 ## transpose ( [ ------ ----- ... ------ ] )
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115 ## [ dx_1 dx_2 dx_N ]
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116 ## @end example
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117 ##
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118 ## Here is an example of calling @code{sqp}:
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119 ##
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120 ## @example
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121 ## function r = g (x)
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122 ## r = [ sumsq(x)-10; x(2)*x(3)-5*x(4)*x(5); x(1)^3+x(2)^3+1];
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123 ## endfunction
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124 ##
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125 ## function obj = phi (x)
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126 ## obj = exp(prod(x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
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127 ## endfunction
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128 ##
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129 ## x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
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130 ##
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131 ## [x, obj, info, iter, nf, lambda] = sqp (x0, @@phi, @@g, [])
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132 ##
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133 ## x =
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134 ##
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135 ## -1.71714
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136 ## 1.59571
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137 ## 1.82725
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138 ## -0.76364
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139 ## -0.76364
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140 ##
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141 ## obj = 0.053950
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142 ## info = 101
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143 ## iter = 8
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144 ## nf = 10
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145 ## lambda =
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146 ##
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147 ## -0.0401627
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148 ## 0.0379578
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149 ## -0.0052227
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150 ## @end example
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151 ##
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152 ## The value returned in @var{info} may be one of the following:
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153 ## @table @asis
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154 ## @item 101
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155 ## The algorithm terminated because the norm of the last step was less
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156 ## than @code{tol * norm (x))} (the value of tol is currently fixed at
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157 ## @code{sqrt (eps)}---edit @file{sqp.m} to modify this value.
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158 ## @item 102
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159 ## The BFGS update failed.
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160 ## @item 103
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161 ## The maximum number of iterations was reached (the maximum number of
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162 ## allowed iterations is currently fixed at 100---edit @file{sqp.m} to
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163 ## increase this value).
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164 ## @end table
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165 ## @end deftypefn
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166 ## @seealso{qp}
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167
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168 function [x, obj, info, iter, nf, lambda] = sqp (x, objf, cef, cif)
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169
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170 global nfun;
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171 global __sqp_obj_fun__;
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172 global __sqp_ce_fun__;
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173 global __sqp_ci_fun__;
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174
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175 if (nargin >= 2 && nargin <= 4)
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176
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177 ## Choose an initial NxN symmetric positive definite Hessan
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178 ## approximation B.
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179
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180 n = length (x);
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181
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182 B = eye (n, n);
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183
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184 ## Evaluate objective function, constraints, and gradients at initial
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185 ## value of x.
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186 ##
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187 ## obj_fun
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188 ## obj_grad
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189 ## ce_fun -- equality constraint functions
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190 ## ci_fun -- inequality constraint functions
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191 ## A == [grad_{x_1} cx_fun, grad_{x_2} cx_fun, ..., grad_{x_n} cx_fun]^T
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192
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193 obj_grd = @fd_obj_grd;
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194 have_hess = 0;
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195 if (iscell (objf))
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196 if (length (objf) > 0)
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197 __sqp_obj_fun__ = obj_fun = objf{1};
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198 if (length (objf) > 1)
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199 obj_grd = objf{2};
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200 if (length (objf) > 2)
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201 obj_hess = objf{3};
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202 have_hess = 1;
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203 B = feval (obj_hess, x);
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204 endif
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205 endif
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206 else
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207 error ("sqp: invalid objective function");
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208 endif
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209 else
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210 __sqp_obj_fun__ = obj_fun = objf;
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211 endif
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212
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213 ce_fun = @empty_cf;
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214 ce_grd = @empty_jac;
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215 if (nargin > 2)
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216 ce_grd = @fd_ce_jac;
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217 if (iscell (cef))
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218 if (length (cef) > 0)
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219 __sqp_ce_fun__ = ce_fun = cef{1};
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220 if (length (cef) > 1)
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221 ce_grd = cef{2};
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222 endif
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223 else
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224 error ("sqp: invalid equality constraint function");
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225 endif
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226 elseif (! isempty (cef))
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227 ce_fun = cef;
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228 endif
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229 endif
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230 __sqp_ce_fun__ = ce_fun;
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231
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232 ci_fun = @empty_cf;
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233 ci_grd = @empty_jac;
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234 if (nargin > 3)
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235 ci_grd = @fd_ci_jac;
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236 if (iscell (cif))
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diff changeset
237 if (length (cif) > 0)
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238 __sqp_ci_fun__ = ci_fun = cif{1};
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239 if (length (cif) > 1)
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240 ci_grd = cif{2};
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241 endif
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242 else
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243 error ("sqp: invalid equality constraint function");
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244 endif
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245 elseif (! isempty (cif))
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246 ci_fun = cif;
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247 endif
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248 endif
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249 __sqp_ci_fun__ = ci_fun;
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250
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251 iter_max = 100;
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252
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253 iter = 0;
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254
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255 obj = feval (obj_fun, x);
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256 nfun = 1;
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257
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258 c = feval (obj_grd, x);
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259
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260 ce = feval (ce_fun, x);
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261 F = feval (ce_grd, x);
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262
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263 ci = feval (ci_fun, x);
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264 C = feval (ci_grd, x);
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265
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266 A = [F; C];
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267
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268 ## Choose an initial lambda (x is provided by the caller).
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269
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270 lambda = 100 * ones (rows (A), 1);
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271
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272 qp_iter = 1;
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273 alpha = 1;
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274
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275 ## report ();
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276
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277 ## report (iter, qp_iter, alpha, nfun, obj);
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278
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279 while (++iter < iter_max)
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280
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281 ## Check convergence. This is just a simple check on the first
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282 ## order necessary conditions.
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283
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284 ## IDX is the indices of the active inequality constraints.
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285
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286 nr_f = rows (F);
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287
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288 lambda_e = lambda((1:nr_f)');
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289 lambda_i = lambda((nr_f+1:end)');
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290
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291 con = [ce; ci];
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292
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293 t0 = norm (c - A' * lambda);
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294 t1 = norm (ce);
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295 t2 = all (ci >= 0);
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296 t3 = all (lambda_i >= 0);
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297 t4 = norm (lambda .* con);
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diff changeset
298
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299 tol = sqrt (eps);
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300
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301 if (t2 && t3 && max ([t0; t1; t4]) < tol)
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302 break;
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303 endif
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304
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parents:
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305 ## Compute search direction p by solving QP.
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diff changeset
306
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307 g = -ce;
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308 d = -ci;
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309
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310 ## Discard inequality constraints that have -Inf bounds since those
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311 ## will never be active.
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312 idx = isinf (d) & d < 0;
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313 d(idx) = [];
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314 C(idx,:) = [];
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315
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diff changeset
316 [p, obj_qp, INFO, lambda] = qp (x, B, c, F, g, [], [], d, C,
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
317 Inf * ones (size (d)));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
318
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
319 info = INFO.info;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
320
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
321 ## Check QP solution and attempt to recover if it has failed.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
322
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
323 ## Choose mu such that p is a descent direction for the chosen
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
324 ## merit function phi.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
325
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
326 [x_new, alpha, obj_new] = linesearch_L1 (x, p, obj_fun, obj_grd,
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
327 ce_fun, ci_fun, lambda, obj);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
328
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
329 ## Evaluate objective function, constraints, and gradients at
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
330 ## x_new.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
331
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
332 c_new = feval (obj_grd, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
333
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
334 ce_new = feval (ce_fun, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
335 F_new = feval (ce_grd, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
336
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
337 ci_new = feval (ci_fun, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
338 C_new = feval (ci_grd, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
339
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
340 A_new = [F_new; C_new];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
341
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
342 ## Set
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
343 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
344 ## s = alpha * p
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
345 ## y = grad_x L (x_new, lambda) - grad_x L (x, lambda})
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
346
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
347 y = c_new - c;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
348
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
349 if (! isempty (A))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
350 t = ((A_new - A)'*lambda);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
351 y -= t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
352 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
353
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
354 delx = x_new - x;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
355
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
356 if (norm (delx) < tol * norm (x))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
357 info = 101;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
358 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
359 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
360
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
361 if (have_hess)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
362
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
363 B = feval (obj_hess, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
364
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
365 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
366
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
367 ## Update B using a quasi-Newton formula.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
368
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
369 delxt = delx';
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
370
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
371 ## Damped BFGS. Or maybe we would actually want to use the Hessian
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
372 ## of the Lagrangian, computed directly.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
373
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
374 d1 = delxt*B*delx;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
375
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
376 t1 = 0.2 * d1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
377 t2 = delxt*y;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
378
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
379 if (t2 < t1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
380 theta = 0.8*d1/(d1 - t2);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
381 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
382 theta = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
383 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
384
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
385 r = theta*y + (1-theta)*B*delx;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
386
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
387 d2 = delxt*r;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
388
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
389 if (d1 == 0 || d2 == 0)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
390 info = 102;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
391 break;
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 B = B - B*delx*delxt*B/d1 + r*r'/d2;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
395
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
396 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
397
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
398 x = x_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
399
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
400 obj = obj_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
401
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
402 c = c_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
403
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
404 ce = ce_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
405 F = F_new;
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 ci = ci_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
408 C = C_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
409
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
410 A = A_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
411
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
412 ## report (iter, qp_iter, alpha, nfun, obj);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
413
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
414 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
415
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
416 if (iter >= iter_max)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
417 info = 103;
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 nf = nfun;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
421
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
422 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
423
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
424 usage ("[x, obj, info, iter, nf, lambda] = sqp (x, objf, cef, cif)");
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
425
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
426 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
427
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
428 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
429
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
430
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
431 function [merit, obj] = phi_L1 (obj, obj_fun, ce_fun, ci_fun, x, mu)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
432
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
433 global nfun;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
434
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
435 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
436 ci = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
437
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
438 idx = ci < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
439
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
440 con = [ce; ci(idx)];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
441
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
442 if (isempty (obj))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
443 obj = feval (obj_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
444 nfun++;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
445 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
446
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
447 merit = obj;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
448 t = norm (con, 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
449
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
450 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
451 merit += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
452 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
453
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
454 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
455
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
456
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
457 function [x_new, alpha, obj] = linesearch_L1 (x, p, obj_fun, obj_grd,
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
458 ce_fun, ci_fun, lambda, obj)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
459
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
460 ## Choose parameters
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
461 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
462 ## eta in the range (0, 0.5)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
463 ## tau in the range (0, 1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
464
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
465 eta = 0.25;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
466 tau = 0.5;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
467
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
468 delta_bar = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
469
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
470 if (isempty (lambda))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
471 mu = 1 / delta_bar;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
472 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
473 mu = 1 / (norm (lambda, Inf) + delta_bar);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
474 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
475
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
476 alpha = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
477
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
478 c = feval (obj_grd, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
479 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
480
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
481 [phi_x_mu, obj] = phi_L1 (obj, obj_fun, ce_fun, ci_fun, x, mu);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
482
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
483 D_phi_x_mu = c' * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
484 d = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
485 ## only those elements of d corresponding
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
486 ## to violated constraints should be included.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
487 idx = d < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
488 t = - norm ([ce; d(idx)], 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
489 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
490 D_phi_x_mu += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
491 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
492
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
493 while (1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
494 [p1, obj] = phi_L1 ([], obj_fun, ce_fun, ci_fun, x+alpha*p, mu);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
495 p2 = phi_x_mu+eta*alpha*D_phi_x_mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
496 if (p1 > p2)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
497 ## Reset alpha = tau_alpha * alpha for some tau_alpha in the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
498 ## range (0, tau).
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
499 tau_alpha = 0.9 * tau; ## ??
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
500 alpha = tau_alpha * alpha;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
501 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
502 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
503 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
504 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
505
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
506 ## Set x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
507
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
508 x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
509
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
510 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
511
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
512
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
513 function report (iter, qp_iter, alpha, nfun, obj)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
514
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
515 if (nargin == 0)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
516 printf (" Itn ItQP Step Nfun Objective\n");
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
517 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
518 printf ("%5d %4d %8.1g %5d %13.6e\n", iter, qp_iter, alpha, nfun, obj);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
519 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
520
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
521 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
522
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
523
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
524 function grd = fdgrd (f, x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
525
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
526 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
527 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
528 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
529 grd = zeros (nx, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
530 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
531 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
532 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
533 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
534 grd(i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
535 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
536 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
537 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
538 grd = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
539 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
540
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
541 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
542
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
543
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
544 function jac = fdjac (f, x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
545
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
546 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
547 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
548 nf = length (y0);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
549 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
550 jac = zeros (nf, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
551 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
552 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
553 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
554 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
555 jac(:,i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
556 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
557 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
558 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
559 jac = zeros (0, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
560 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
561
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
562 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
563
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
564
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
565 function grd = fd_obj_grd (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
566
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
567 global __sqp_obj_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
568
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
569 grd = fdgrd (__sqp_obj_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
570
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
571 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
572
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
573
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
574 function res = empty_cf (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
575
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
576 res = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
577
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
578 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
579
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
580
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
581 function res = empty_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
582
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
583 res = zeros (0, length (x));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
584
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
585 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
586
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
587
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
588 function jac = fd_ce_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
589
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
590 global __sqp_ce_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
591
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
592 jac = fdjac (__sqp_ce_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
593
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
594 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
595
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
596
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
597 function jac = fd_ci_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
598
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
599 global __sqp_ci_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
600
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
601 jac = fdjac (__sqp_ci_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
602
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
603 ### endfunction