octave: scripts/optimization/sqp.m annotate

annotate scripts/optimization/sqp.m @ 14363:f3d52523cde1

Use Octave coding conventions in all m-file %!test blocks * wavread.m, acosd.m, acot.m, acotd.m, acoth.m, acsc.m, acscd.m, acsch.m, asec.m, asecd.m, asech.m, asind.m, atand.m, cosd.m, cot.m, cotd.m, coth.m, csc.m, cscd.m, csch.m, sec.m, secd.m, sech.m, sind.m, tand.m, accumarray.m, accumdim.m, bitcmp.m, bitget.m, bitset.m, blkdiag.m, cart2pol.m, cart2sph.m, celldisp.m, chop.m, circshift.m, colon.m, common_size.m, cplxpair.m, cumtrapz.m, curl.m, dblquad.m, deal.m, divergence.m, flipdim.m, fliplr.m, flipud.m, genvarname.m, gradient.m, idivide.m, int2str.m, interp1.m, interp1q.m, interp2.m, interp3.m, interpft.m, interpn.m, isa.m, isdir.m, isequal.m, isequalwithequalnans.m, issquare.m, logspace.m, nargchk.m, narginchk.m, nargoutchk.m, nextpow2.m, nthargout.m, num2str.m, pol2cart.m, polyarea.m, postpad.m, prepad.m, profile.m, profshow.m, quadgk.m, quadv.m, randi.m, rat.m, repmat.m, rot90.m, rotdim.m, shift.m, shiftdim.m, sph2cart.m, structfun.m, trapz.m, triplequad.m, convhull.m, dsearch.m, dsearchn.m, griddata3.m, griddatan.m, rectint.m, tsearchn.m, __makeinfo__.m, doc.m, get_first_help_sentence.m, help.m, type.m, unimplemented.m, which.m, imread.m, imwrite.m, dlmwrite.m, fileread.m, is_valid_file_id.m, strread.m, textread.m, textscan.m, commutation_matrix.m, cond.m, condest.m, cross.m, duplication_matrix.m, expm.m, housh.m, isdefinite.m, ishermitian.m, issymmetric.m, logm.m, normest.m, null.m, onenormest.m, orth.m, planerot.m, qzhess.m, rank.m, rref.m, trace.m, vech.m, ans.m, bincoeff.m, bug_report.m, bzip2.m, comma.m, compare_versions.m, computer.m, edit.m, fileparts.m, fullfile.m, getfield.m, gzip.m, info.m, inputname.m, isappdata.m, isdeployed.m, ismac.m, ispc.m, isunix.m, list_primes.m, ls.m, mexext.m, namelengthmax.m, news.m, orderfields.m, paren.m, recycle.m, rmappdata.m, semicolon.m, setappdata.m, setfield.m, substruct.m, symvar.m, ver.m, version.m, warning_ids.m, xor.m, fminbnd.m, fsolve.m, fzero.m, lsqnonneg.m, optimset.m, pqpnonneg.m, sqp.m, matlabroot.m, __gnuplot_drawnow__.m, __plt_get_axis_arg__.m, ancestor.m, cla.m, clf.m, close.m, colorbar.m, colstyle.m, comet3.m, contourc.m, figure.m, gca.m, gcbf.m, gcbo.m, gcf.m, ginput.m, graphics_toolkit.m, gtext.m, hggroup.m, hist.m, hold.m, isfigure.m, ishghandle.m, ishold.m, isocolors.m, isonormals.m, isosurface.m, isprop.m, legend.m, line.m, loglog.m, loglogerr.m, meshgrid.m, ndgrid.m, newplot.m, orient.m, patch.m, plot3.m, plotyy.m, __print_parse_opts__.m, quiver3.m, refreshdata.m, ribbon.m, semilogx.m, semilogxerr.m, semilogy.m, stem.m, stem3.m, subplot.m, title.m, uigetfile.m, view.m, whitebg.m, compan.m, conv.m, deconv.m, mkpp.m, mpoles.m, pchip.m, poly.m, polyaffine.m, polyder.m, polyfit.m, polygcd.m, polyint.m, polyout.m, polyval.m, polyvalm.m, ppder.m, ppint.m, ppjumps.m, ppval.m, residue.m, roots.m, spline.m, intersect.m, ismember.m, powerset.m, setdiff.m, setxor.m, union.m, unique.m, autoreg_matrix.m, bartlett.m, blackman.m, detrend.m, fftconv.m, fftfilt.m, fftshift.m, freqz.m, hamming.m, hanning.m, ifftshift.m, sinc.m, sinetone.m, sinewave.m, unwrap.m, bicg.m, bicgstab.m, gmres.m, gplot.m, nonzeros.m, pcg.m, pcr.m, spaugment.m, spconvert.m, spdiags.m, speye.m, spfun.m, spones.m, sprand.m, sprandsym.m, spstats.m, spy.m, svds.m, treelayout.m, bessel.m, beta.m, betaln.m, factor.m, factorial.m, isprime.m, lcm.m, legendre.m, nchoosek.m, nthroot.m, perms.m, pow2.m, primes.m, reallog.m, realpow.m, realsqrt.m, hadamard.m, hankel.m, hilb.m, invhilb.m, magic.m, rosser.m, vander.m, __finish__.m, center.m, cloglog.m, corr.m, cov.m, gls.m, histc.m, iqr.m, kendall.m, kurtosis.m, logit.m, mahalanobis.m, mean.m, meansq.m, median.m, mode.m, moment.m, ols.m, ppplot.m, prctile.m, probit.m, quantile.m, range.m, ranks.m, run_count.m, runlength.m, skewness.m, spearman.m, statistics.m, std.m, table.m, var.m, zscore.m, betacdf.m, betainv.m, betapdf.m, betarnd.m, binocdf.m, binoinv.m, binopdf.m, binornd.m, cauchy_cdf.m, cauchy_inv.m, cauchy_pdf.m, cauchy_rnd.m, chi2cdf.m, chi2inv.m, chi2pdf.m, chi2rnd.m, discrete_cdf.m, discrete_inv.m, discrete_pdf.m, discrete_rnd.m, empirical_cdf.m, empirical_inv.m, empirical_pdf.m, empirical_rnd.m, expcdf.m, expinv.m, exppdf.m, exprnd.m, fcdf.m, finv.m, fpdf.m, frnd.m, gamcdf.m, gaminv.m, gampdf.m, gamrnd.m, geocdf.m, geoinv.m, geopdf.m, geornd.m, hygecdf.m, hygeinv.m, hygepdf.m, hygernd.m, kolmogorov_smirnov_cdf.m, laplace_cdf.m, laplace_inv.m, laplace_pdf.m, laplace_rnd.m, logistic_cdf.m, logistic_inv.m, logistic_pdf.m, logistic_rnd.m, logncdf.m, logninv.m, lognpdf.m, lognrnd.m, nbincdf.m, nbininv.m, nbinpdf.m, nbinrnd.m, normcdf.m, norminv.m, normpdf.m, normrnd.m, poisscdf.m, poissinv.m, poisspdf.m, poissrnd.m, stdnormal_cdf.m, stdnormal_inv.m, stdnormal_pdf.m, stdnormal_rnd.m, tcdf.m, tinv.m, tpdf.m, trnd.m, unidcdf.m, unidinv.m, unidpdf.m, unidrnd.m, unifcdf.m, unifinv.m, unifpdf.m, unifrnd.m, wblcdf.m, wblinv.m, wblpdf.m, wblrnd.m, kolmogorov_smirnov_test.m, kruskal_wallis_test.m, base2dec.m, bin2dec.m, blanks.m, cstrcat.m, deblank.m, dec2base.m, dec2bin.m, dec2hex.m, findstr.m, hex2dec.m, index.m, isletter.m, mat2str.m, rindex.m, str2num.m, strcat.m, strjust.m, strmatch.m, strsplit.m, strtok.m, strtrim.m, strtrunc.m, substr.m, validatestring.m, demo.m, example.m, fail.m, speed.m, addtodate.m, asctime.m, clock.m, ctime.m, date.m, datenum.m, datetick.m, datevec.m, eomday.m, etime.m, is_leap_year.m, now.m: Use Octave coding conventions in all m-file %!test blocks

author	Rik <octave@nomad.inbox5.com>
date	Mon, 13 Feb 2012 07:29:44 -0800
parents	4d917a6a858b
children	86854d032a37

rev	line source
14138 72c96de7a403 maint: update copyright notices for 2012 John W. Eaton <jwe@octave.org> parents: 13931 diff changeset	1 ## Copyright (C) 2005-2012 John W. Eaton
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	2 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	3 ## This file is part of Octave.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	4 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	5 ## Octave is free software; you can redistribute it and/or modify it
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	6 ## under the terms of the GNU General Public License as published by
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	7 ## the Free Software Foundation; either version 3 of the License, or (at
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	8 ## your option) any later version.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	9 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	10 ## Octave is distributed in the hope that it will be useful, but
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	13 ## General Public License for more details.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	14 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	15 ## You should have received a copy of the GNU General Public License
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	16 ## along with Octave; see the file COPYING. If not, see
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	17 ## <http://www.gnu.org/licenses/>.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	18
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	19 ## -- texinfo --
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	20 ## @deftypefn {Function File} {[@var{x}, @var{obj}, @var{info}, @var{iter}, @var{nf}, @var{lambda}] =} sqp (@var{x0}, @var{phi})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	21 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	22 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	23 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	24 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter})
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	25 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter}, @var{tol})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	26 ## Solve the nonlinear program
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	27 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	28 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	29 ## \min_x \phi (x)
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	30 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	31 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	32 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	33 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	34 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	35 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	36 ## min phi (x)
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	37 ## x
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	38 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	39 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	40 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	41 ## @end ifnottex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	42 ## subject to
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	43 ## @tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	44 ## $$
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	45 ## g(x) = 0 \qquad h(x) \geq 0 \qquad lb \leq x \leq ub
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	46 ## $$
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	47 ## @end tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	48 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	49 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	50 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	51 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	52 ## g(x) = 0
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	53 ## h(x) >= 0
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	54 ## lb <= x <= ub
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	55 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	56 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	57 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	58 ## @end ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	59 ## @noindent
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	60 ## using a sequential quadratic programming method.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	61 ##
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	62 ## The first argument is the initial guess for the vector @var{x0}.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	63 ##
7001 8b0cfeb06365 [project @ 2007-10-10 18:02:59 by jwe] jwe parents: 6921 diff changeset	64 ## The second argument is a function handle pointing to the objective
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	65 ## function @var{phi}. The objective function must accept one vector
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	66 ## argument and return a scalar.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	67 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	68 ## The second argument may also be a 2- or 3-element cell array of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	69 ## function handles. The first element should point to the objective
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	70 ## function, the second should point to a function that computes the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	71 ## gradient of the objective function, and the third should point to a
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	72 ## function that computes the Hessian of the objective function. If the
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	73 ## gradient function is not supplied, the gradient is computed by finite
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	74 ## differences. If the Hessian function is not supplied, a BFGS update
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	75 ## formula is used to approximate the Hessian.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	76 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	77 ## When supplied, the gradient function @code{@var{phi}@{2@}} must accept
13931 9de488c6c59c doc: Spellcheck documentation before 3.6.0 release Rik <octave@nomad.inbox5.com> parents: 13929 diff changeset	78 ## one vector argument and return a vector. When supplied, the Hessian
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	79 ## function @code{@var{phi}@{3@}} must accept one vector argument and
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	80 ## return a matrix.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	81 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	82 ## The third and fourth arguments @var{g} and @var{h} are function
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	83 ## handles pointing to functions that compute the equality constraints
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	84 ## and the inequality constraints, respectively. If the problem does
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	85 ## not have equality (or inequality) constraints, then use an empty
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	86 ## matrix ([]) for @var{g} (or @var{h}). When supplied, these equality
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	87 ## and inequality constraint functions must accept one vector argument
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	88 ## and return a vector.
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	89 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	90 ## The third and fourth arguments may also be 2-element cell arrays of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	91 ## function handles. The first element should point to the constraint
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	92 ## function and the second should point to a function that computes the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	93 ## gradient of the constraint function:
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	94 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	95 ## $$
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	96 ## \Bigg( {\partial f(x) \over \partial x_1},
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	97 ## {\partial f(x) \over \partial x_2}, \ldots,
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	98 ## {\partial f(x) \over \partial x_N} \Bigg)^T
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	99 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	100 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	101 ## @ifnottex
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	102 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	103 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	104 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	105 ## [ d f(x) d f(x) d f(x) ]
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	106 ## transpose ( [ ------ ----- ... ------ ] )
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	107 ## [ dx_1 dx_2 dx_N ]
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	108 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	109 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	110 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	111 ## @end ifnottex
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	112 ## The fifth and sixth arguments, @var{lb} and @var{ub}, contain lower
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	113 ## and upper bounds on @var{x}. These must be consistent with the
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	114 ## equality and inequality constraints @var{g} and @var{h}. If the
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	115 ## arguments are vectors then @var{x}(i) is bound by @var{lb}(i) and
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	116 ## @var{ub}(i). A bound can also be a scalar in which case all elements
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	117 ## of @var{x} will share the same bound. If only one bound (lb, ub) is
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	118 ## specified then the other will default to (-@var{realmax},
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	119 ## +@var{realmax}).
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	120 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	121 ## The seventh argument @var{maxiter} specifies the maximum number of
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	122 ## iterations. The default value is 100.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	123 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	124 ## The eighth argument @var{tol} specifies the tolerance for the
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	125 ## stopping criteria. The default value is @code{sqrt(eps)}.
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	126 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	127 ## The value returned in @var{info} may be one of the following:
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	128 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	129 ## @table @asis
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	130 ## @item 101
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	131 ## The algorithm terminated normally.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	132 ## Either all constraints meet the requested tolerance, or the stepsize,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	133 ## @tex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	134 ## $\Delta x,$
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	135 ## @end tex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	136 ## @ifnottex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	137 ## delta @var{x},
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	138 ## @end ifnottex
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	139 ## is less than @code{@var{tol} * norm (x)}.
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	140 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	141 ## @item 102
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	142 ## The BFGS update failed.
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	143 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	144 ## @item 103
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	145 ## The maximum number of iterations was reached.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	146 ## @end table
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	147 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	148 ## An example of calling @code{sqp}:
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	149 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	150 ## @example
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	151 ## function r = g (x)
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	152 ## r = [ sumsq(x)-10;
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	153 ## x(2)x(3)-5x(4)*x(5);
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	154 ## x(1)^3+x(2)^3+1 ];
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	155 ## endfunction
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	156 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	157 ## function obj = phi (x)
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	158 ## obj = exp (prod (x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	159 ## endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	160 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	161 ## x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	162 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	163 ## [x, obj, info, iter, nf, lambda] = sqp (x0, @@phi, @@g, [])
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	164 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	165 ## x =
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	166 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	167 ## -1.71714
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	168 ## 1.59571
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	169 ## 1.82725
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	170 ## -0.76364
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	171 ## -0.76364
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	172 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	173 ## obj = 0.053950
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	174 ## info = 101
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	175 ## iter = 8
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	176 ## nf = 10
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	177 ## lambda =
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	178 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	179 ## -0.0401627
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	180 ## 0.0379578
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	181 ## -0.0052227
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	182 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	183 ##
5642 2618a0750ae6 [project @ 2006-03-06 21:26:48 by jwe] jwe parents: 5307 diff changeset	184 ## @seealso{qp}
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	185 ## @end deftypefn
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	186
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	187 function [x, obj, info, iter, nf, lambda] = sqp (x0, objf, cef, cif, lb, ub, maxiter, tolerance)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	188
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	189 global __sqp_nfun__;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	190 global __sqp_obj_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	191 global __sqp_ce_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	192 global __sqp_ci_fun__;
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	193 global __sqp_cif__;
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	194 global __sqp_cifcn__;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	195
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	196 if (nargin < 2 \|\| nargin > 8 \|\| nargin == 5)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	197 print_usage ();
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	198 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	199
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	200 if (!isvector (x0))
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	201 error ("sqp: X0 must be a vector");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	202 endif
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	203 if (rows (x0) == 1)
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	204 x0 = x0';
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	205 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	206
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	207 obj_grd = @fd_obj_grd;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	208 have_hess = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	209 if (iscell (objf))
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	210 switch (numel (objf))
a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	211 case 1
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	212 obj_fun = objf{1};
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	213 case 2
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	214 obj_fun = objf{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	215 obj_grd = objf{2};
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	216 case 3
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	217 obj_fun = objf{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	218 obj_grd = objf{2};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	219 obj_hess = objf{3};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	220 have_hess = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	221 otherwise
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	222 error ("sqp: invalid objective function specification");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	223 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	224 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	225 obj_fun = objf; # No cell array, only obj_fun set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	226 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	227 __sqp_obj_fun__ = obj_fun;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	228
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	229 ce_fun = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	230 ce_grd = @empty_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	231 if (nargin > 2)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	232 ce_grd = @fd_ce_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	233 if (iscell (cef))
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	234 switch (numel (cef))
a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	235 case 1
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	236 ce_fun = cef{1};
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	237 case 2
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	238 ce_fun = cef{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	239 ce_grd = cef{2};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	240 otherwise
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	241 error ("sqp: invalid equality constraint function specification");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	242 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	243 elseif (! isempty (cef))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	244 ce_fun = cef; # No cell array, only constraint equality function set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	245 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	246 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	247 __sqp_ce_fun__ = ce_fun;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	248
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	249 ci_fun = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	250 ci_grd = @empty_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	251 if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	252 ## constraint function given by user with possible gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	253 __sqp_cif__ = cif;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	254 ## constraint function given by user without gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	255 __sqp_cifcn__ = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	256 if (iscell (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	257 if (length (cif) > 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	258 __sqp_cifcn__ = cif{1};
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	259 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	260 elseif (! isempty (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	261 __sqp_cifcn__ = cif;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	262 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	263
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	264 if (nargin < 5 \|\| (nargin > 5 && isempty (lb) && isempty (ub)))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	265 ## constraint inequality function only without any bounds
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	266 ci_grd = @fd_ci_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	267 if (iscell (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	268 switch length (cif)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	269 case {1}
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	270 ci_fun = cif{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	271 case {2}
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	272 ci_fun = cif{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	273 ci_grd = cif{2};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	274 otherwise
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	275 error ("sqp: invalid inequality constraint function specification");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	276 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	277 elseif (! isempty (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	278 ci_fun = cif; # No cell array, only constraint inequality function set
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	279 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	280 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	281 ## constraint inequality function with bounds present
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	282 global __sqp_lb__;
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	283 lb_idx = ub_idx = true (size (x0));
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	284 ub_grad = - (lb_grad = eye (rows (x0)));
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	285 if (isvector (lb))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	286 __sqp_lb__ = tmp_lb = lb(:);
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	287 lb_idx(:) = tmp_idx = (lb != -Inf);
11371 c767bb1afa03 sqp.m: Fix indexing error in sqp bounds selection Olaf Till <olaf.till@uni-jena.de> parents: 11348 diff changeset	288 __sqp_lb__ = __sqp_lb__(tmp_idx, 1);
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	289 lb_grad = lb_grad(lb_idx, :);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	290 elseif (isempty (lb))
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	291 if (isa (x0, "single"))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	292 __sqp_lb__ = tmp_lb = -realmax ("single");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	293 else
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	294 __sqp_lb__ = tmp_lb = -realmax;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	295 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	296 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	297 error ("sqp: invalid lower bound");
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	298 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	299
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	300 global __sqp_ub__;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	301 if (isvector (ub))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	302 __sqp_ub__ = tmp_ub = ub(:);
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	303 ub_idx(:) = tmp_idx = (ub != Inf);
11371 c767bb1afa03 sqp.m: Fix indexing error in sqp bounds selection Olaf Till <olaf.till@uni-jena.de> parents: 11348 diff changeset	304 __sqp_ub__ = __sqp_ub__(tmp_idx, 1);
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	305 ub_grad = ub_grad(ub_idx, :);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	306 elseif (isempty (ub))
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	307 if (isa (x0, "single"))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	308 __sqp_ub__ = tmp_ub = realmax ("single");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	309 else
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	310 __sqp_ub__ = tmp_ub = realmax;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	311 endif
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	312 else
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	313 error ("sqp: invalid upper bound");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	314 endif
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	315
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	316 if (any (tmp_lb > tmp_ub))
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	317 error ("sqp: upper bound smaller than lower bound");
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	318 endif
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	319 bounds_grad = [lb_grad; ub_grad];
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	320 ci_fun = @ (x) cf_ub_lb (x, lb_idx, ub_idx);
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	321 ci_grd = @ (x) cigrad_ub_lb (x, bounds_grad);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	322 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	323
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	324 __sqp_ci_fun__ = ci_fun;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	325 endif # if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	326
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	327 iter_max = 100;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	328 if (nargin > 6 && ! isempty (maxiter))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	329 if (isscalar (maxiter) && maxiter > 0 && fix (maxiter) == maxiter)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	330 iter_max = maxiter;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	331 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	332 error ("sqp: invalid number of maximum iterations");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	333 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	334 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	335
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	336 tol = sqrt (eps);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	337 if (nargin > 7 && ! isempty (tolerance))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	338 if (isscalar (tolerance) && tolerance > 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	339 tol = tolerance;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	340 else
11472 1740012184f9 Use uppercase for variable names in error() strings to match Info documentation. Only m-files done. Rik <octave@nomad.inbox5.com> parents: 11371 diff changeset	341 error ("sqp: invalid value for TOLERANCE");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	342 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	343 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	344
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	345 ## Initialize variables for search loop
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	346 ## Seed x with initial guess and evaluate objective function, constraints,
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	347 ## and gradients at initial value x0.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	348 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	349 ## obj_fun -- objective function
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	350 ## obj_grad -- objective gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	351 ## ce_fun -- equality constraint functions
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	352 ## ci_fun -- inequality constraint functions
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	353 ## A == [grad_{x_1} cx_fun, grad_{x_2} cx_fun, ..., grad_{x_n} cx_fun]^T
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	354 x = x0;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	355
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	356 obj = feval (obj_fun, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	357 __sqp_nfun__ = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	358
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	359 c = feval (obj_grd, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	360
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	361 ## Choose an initial NxN symmetric positive definite Hessian approximation B.
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	362 n = length (x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	363 if (have_hess)
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	364 B = feval (obj_hess, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	365 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	366 B = eye (n, n);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	367 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	368
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	369 ce = feval (ce_fun, x0);
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	370 F = feval (ce_grd, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	371
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	372 ci = feval (ci_fun, x0);
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	373 C = feval (ci_grd, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	374
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	375 A = [F; C];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	376
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	377 ## Choose an initial lambda (x is provided by the caller).
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	378 lambda = 100 * ones (rows (A), 1);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	379
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	380 qp_iter = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	381 alpha = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	382
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	383 info = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	384 iter = 0;
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	385 # report (); # Called with no arguments to initialize reporting
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	386 # report (iter, qp_iter, alpha, __sqp_nfun__, obj);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	387
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	388 while (++iter < iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	389
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	390 ## Check convergence. This is just a simple check on the first
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	391 ## order necessary conditions.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	392 nr_f = rows (F);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	393
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	394 lambda_e = lambda((1:nr_f)');
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	395 lambda_i = lambda((nr_f+1:end)');
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	396
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	397 con = [ce; ci];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	398
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	399 t0 = norm (c - A' * lambda);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	400 t1 = norm (ce);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	401 t2 = all (ci >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	402 t3 = all (lambda_i >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	403 t4 = norm (lambda .* con);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	404
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	405 if (t2 && t3 && max ([t0; t1; t4]) < tol)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	406 info = 101;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	407 break;
6382 f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe] jwe parents: 6046 diff changeset	408 endif
f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe] jwe parents: 6046 diff changeset	409
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	410 ## Compute search direction p by solving QP.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	411 g = -ce;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	412 d = -ci;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	413
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	414 [p, obj_qp, INFO, lambda] = qp (x, B, c, F, g, [], [], d, C,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	415 Inf (size (d)));
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	416
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	417 info = INFO.info;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	418
13206 658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	419 ## FIXME -- check QP solution and attempt to recover if it has
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	420 ## failed. For now, just warn about possible problems.
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	421
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	422 id = "Octave:SQP-QP-subproblem";
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	423 switch (info)
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	424 case 2
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	425 warning (id, "sqp: QP subproblem is non-convex and unbounded");
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	426 case 3
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	427 warning (id, "sqp: QP subproblem failed to converge in %d iterations",
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	428 INFO.solveiter);
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	429 case 6
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	430 warning (id, "sqp: QP subproblem is infeasible");
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	431 endswitch
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	432
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	433 ## Choose mu such that p is a descent direction for the chosen
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	434 ## merit function phi.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	435 [x_new, alpha, obj_new] = linesearch_L1 (x, p, obj_fun, obj_grd,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	436 ce_fun, ci_fun, lambda, obj);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	437
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	438 ## Evaluate objective function, constraints, and gradients at x_new.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	439 c_new = feval (obj_grd, x_new);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	440
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	441 ce_new = feval (ce_fun, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	442 F_new = feval (ce_grd, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	443
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	444 ci_new = feval (ci_fun, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	445 C_new = feval (ci_grd, x_new);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	446
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	447 A_new = [F_new; C_new];
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	448
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	449 ## Set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	450 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	451 ## s = alpha * p
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	452 ## y = grad_x L (x_new, lambda) - grad_x L (x, lambda})
6527 2a04f026ef54 [project @ 2007-04-16 16:54:09 by jwe] jwe parents: 6382 diff changeset	453
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	454 y = c_new - c;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	455
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	456 if (! isempty (A))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	457 t = ((A_new - A)'*lambda);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	458 y -= t;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	459 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	460
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	461 delx = x_new - x;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	462
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	463 if (norm (delx) < tol * norm (x))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	464 info = 101;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	465 break;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	466 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	467
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	468 if (have_hess)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	469
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	470 B = feval (obj_hess, x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	471
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	472 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	473 ## Update B using a quasi-Newton formula.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	474 delxt = delx';
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	475
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	476 ## Damped BFGS. Or maybe we would actually want to use the Hessian
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	477 ## of the Lagrangian, computed directly?
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	478 d1 = delxtBdelx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	479
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	480 t1 = 0.2 * d1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	481 t2 = delxt*y;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	482
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	483 if (t2 < t1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	484 theta = 0.8*d1/(d1 - t2);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	485 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	486 theta = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	487 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	488
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	489 r = thetay + (1-theta)B*delx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	490
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	491 d2 = delxt*r;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	492
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	493 if (d1 == 0 \|\| d2 == 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	494 info = 102;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	495 break;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	496 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	497
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	498 B = B - BdelxdelxtB/d1 + rr'/d2;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	499
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	500 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	501
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	502 x = x_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	503
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	504 obj = obj_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	505
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	506 c = c_new;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	507
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	508 ce = ce_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	509 F = F_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	510
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	511 ci = ci_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	512 C = C_new;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	513
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	514 A = A_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	515
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	516 # report (iter, qp_iter, alpha, __sqp_nfun__, obj);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	517
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	518 endwhile
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	519
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	520 if (iter >= iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	521 info = 103;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	522 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	523
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	524 nf = __sqp_nfun__;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	525
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	526 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	527
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	528
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	529 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	530
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	531 global __sqp_nfun__;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	532
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	533 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	534 ci = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	535
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	536 idx = ci < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	537
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	538 con = [ce; ci(idx)];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	539
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	540 if (isempty (obj))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	541 obj = feval (obj_fun, x);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	542 __sqp_nfun__++;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	543 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	544
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	545 merit = obj;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	546 t = norm (con, 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	547
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	548 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	549 merit += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	550 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	551
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	552 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	553
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	554
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	555 function [x_new, alpha, obj] = linesearch_L1 (x, p, obj_fun, obj_grd,
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	556 ce_fun, ci_fun, lambda, obj)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	557
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	558 ## Choose parameters
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	559 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	560 ## eta in the range (0, 0.5)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	561 ## tau in the range (0, 1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	562
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	563 eta = 0.25;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	564 tau = 0.5;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	565
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	566 delta_bar = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	567
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	568 if (isempty (lambda))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	569 mu = 1 / delta_bar;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	570 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	571 mu = 1 / (norm (lambda, Inf) + delta_bar);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	572 endif
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 alpha = 1;
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 c = feval (obj_grd, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	577 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	578
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	579 [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	580
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	581 D_phi_x_mu = c' * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	582 d = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	583 ## only those elements of d corresponding
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	584 ## to violated constraints should be included.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	585 idx = d < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	586 t = - norm ([ce; d(idx)], 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	587 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	588 D_phi_x_mu += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	589 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	590
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	591 while (1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	592 [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	593 p2 = phi_x_mu+etaalphaD_phi_x_mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	594 if (p1 > p2)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	595 ## 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	596 ## range (0, tau).
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	597 tau_alpha = 0.9 * tau; # ??
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	598 alpha = tau_alpha * alpha;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	599 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	600 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	601 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	602 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	603
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	604 x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	605
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	606 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	607
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	608
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	609 function grd = fdgrd (f, x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	610
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	611 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	612 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	613 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	614 grd = zeros (nx, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	615 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	616 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	617 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	618 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	619 grd(i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	620 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	621 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	622 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	623 grd = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	624 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	625
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	626 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	627
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	628
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	629 function jac = fdjac (f, x)
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	630
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	631 nx = length (x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	632 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	633 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	634 nf = length (y0);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	635 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	636 jac = zeros (nf, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	637 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	638 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	639 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	640 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	641 jac(:,i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	642 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	643 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	644 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	645 jac = zeros (0, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	646 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	647
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	648 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	649
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	650
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	651 function grd = fd_obj_grd (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	652
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	653 global __sqp_obj_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	654
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	655 grd = fdgrd (__sqp_obj_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	656
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	657 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	658
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	659
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	660 function res = empty_cf (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	661
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	662 res = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	663
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	664 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	665
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	666
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	667 function res = empty_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	668
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	669 res = zeros (0, length (x));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	670
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	671 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	672
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	673
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	674 function jac = fd_ce_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	675
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	676 global __sqp_ce_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	677
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	678 jac = fdjac (__sqp_ce_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	679
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	680 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	681
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	682
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	683 function jac = fd_ci_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	684
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	685 global __sqp_cifcn__;
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	686 ## __sqp_cifcn__ = constraint function without gradients and lb or ub
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	687 jac = fdjac (__sqp_cifcn__, x);
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	688
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	689 endfunction
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	690
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	691
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	692 function res = cf_ub_lb (x, lbidx, ubidx)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	693
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	694 ## combine constraint function with ub and lb
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	695 global __sqp_cifcn__ __sqp_lb__ __sqp_ub__
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	696
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	697 if (isempty (__sqp_cifcn__))
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	698 res = [x(lbidx,1)-__sqp_lb__; __sqp_ub__-x(ubidx,1)];
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	699 else
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	700 res = [feval(__sqp_cifcn__,x); \
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	701 x(lbidx,1)-__sqp_lb__; __sqp_ub__-x(ubidx,1)];
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	702 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	703
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	704 endfunction
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	705
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	706
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	707 function res = cigrad_ub_lb (x, bgrad)
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	708
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	709 global __sqp_cif__
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	710
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	711 cigradfcn = @fd_ci_jac;
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	712
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	713 if (iscell (__sqp_cif__) && length (__sqp_cif__) > 1)
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	714 cigradfcn = __sqp_cif__{2};
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	715 endif
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	716
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	717 if (isempty (cigradfcn))
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	718 res = bgrad;
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	719 else
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	720 res = [feval(cigradfcn,x); bgrad];
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	721 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	722
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	723 endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	724
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	725 # Utility function used to debug sqp
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	726 function report (iter, qp_iter, alpha, nfun, obj)
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	727
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	728 if (nargin == 0)
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	729 printf (" Itn ItQP Step Nfun Objective\n");
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	730 else
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	731 printf ("%5d %4d %8.1g %5d %13.6e\n", iter, qp_iter, alpha, nfun, obj);
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	732 endif
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	733
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	734 endfunction
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	735
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	736
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	737 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	738 %% Test Code
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	739
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	740 %!function r = __g (x)
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	741 %! r = [sumsq(x)-10;
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	742 %! x(2)x(3)-5x(4)*x(5);
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	743 %! x(1)^3+x(2)^3+1 ];
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	744 %!endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	745 %!
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	746 %!function obj = __phi (x)
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	747 %! obj = exp (prod (x)) - 0.5*(x(1)^3 + x(2)^3 + 1)^2;
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	748 %!endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	749 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	750 %!test
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	751 %!
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	752 %! x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	753 %!
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	754 %! [x, obj, info, iter, nf, lambda] = sqp (x0, @__phi, @__g, []);
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	755 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	756 %! x_opt = [-1.717143501952599;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	757 %! 1.595709610928535;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	758 %! 1.827245880097156;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	759 %! -0.763643103133572;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	760 %! -0.763643068453300];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	761 %!
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	762 %! obj_opt = 0.0539498477702739;
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	763 %!
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	764 %! assert (x, x_opt, 5*sqrt (eps));
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	765 %! assert (obj, obj_opt, sqrt (eps));
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	766
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	767 %% Test input validation
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	768 %!error sqp ()
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	769 %!error sqp (1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	770 %!error sqp (1,2,3,4,5,6,7,8,9)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	771 %!error sqp (1,2,3,4,5)
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	772 %!error sqp (ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	773 %!error sqp (1, cell (4,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	774 %!error sqp (1, cell (3,1), cell (3,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	775 %!error sqp (1, cell (3,1), cell (2,1), cell (3,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	776 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1), ones (2,2),[])
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	777 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	778 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),1,-1)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	779 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	780 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],-1)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	781 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],1.5)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	782 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	783 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],[],-1)

Mercurial > octave

annotate scripts/optimization/sqp.m @ 14363:f3d52523cde1