annotate scripts/optimization/sqp.m @ 6382:f74e71ef6612

[project @ 2007-03-05 21:29:40 by jwe]
author jwe
date Mon, 05 Mar 2007 21:29:40 +0000
parents 34f96dd5441b
children 2a04f026ef54
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1 ## Copyright (C) 2005 John W. Eaton
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 2, or (at your option)
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8 ## any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, write to the Free
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17 ## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
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18 ## 02110-1301, USA.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {[@var{x}, @var{obj}, @var{info}, @var{iter}, @var{nf}, @var{lambda}] =} sqp (@var{x}, @var{phi}, @var{g}, @var{h})
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22 ## Solve the nonlinear program
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23 ## @ifinfo
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24 ##
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25 ## @example
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26 ## min phi (x)
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27 ## x
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28 ## @end example
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29 ##
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30 ## @end ifinfo
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31 ## @iftex
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32 ## @tex
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33 ## @end tex
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34 ## @end iftex
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35 ## subject to
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36 ## @ifinfo
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37 ##
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38 ## @example
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39 ## g(x) = 0
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40 ## h(x) >= 0
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41 ## @end example
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42 ## @end ifinfo
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43 ## @iftex
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44 ## @tex
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45 ## @end tex
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46 ## @end iftex
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47 ##
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48 ## @noindent
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49 ## using a successive quadratic programming method.
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50 ##
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51 ## The first argument is the initial guess for the vector @var{x}.
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52 ##
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53 ## The second argument is a function handle pointing to the ojective
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54 ## function. The objective function must be of the form
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55 ##
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56 ## @example
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57 ## y = phi (x)
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58 ## @end example
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59 ##
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60 ## @noindent
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61 ## in which @var{x} is a vector and @var{y} is a scalar.
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62 ##
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63 ## The second argument may also be a 2- or 3-element cell array of
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64 ## function handles. The first element should point to the objective
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65 ## function, the second should point to a function that computes the
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66 ## gradient of the objective function, and the third should point to a
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67 ## function to compute the hessian of the objective function. If the
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68 ## gradient function is not supplied, the gradient is computed by finite
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69 ## differences. If the hessian function is not supplied, a BFGS update
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70 ## formula is used to approximate the hessian.
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71 ##
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72 ## If supplied, the gradient function must be of the form
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73 ##
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74 ## @example
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75 ## g = gradient (x)
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76 ## @end example
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77 ##
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78 ## @noindent
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79 ## in which @var{x} is a vector and @var{g} is a vector.
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80 ##
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81 ## If supplied, the hessian function must be of the form
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82 ##
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83 ## @example
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84 ## h = hessian (x)
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85 ## @end example
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86 ##
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87 ## @noindent
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88 ## in which @var{x} is a vector and @var{h} is a matrix.
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89 ##
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90 ## The third and fourth arguments are function handles pointing to
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91 ## functions that compute the equality constraints and the inequality
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92 ## constraints, respectively.
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93 ##
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94 ## If your problem does not have equality (or inequality) constraints,
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95 ## you may pass an empty matrix for @var{cef} (or @var{cif}).
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96 ##
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97 ## If supplied, the equality and inequality constraint functions must be
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98 ## of the form
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99 ##
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100 ## @example
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101 ## r = f (x)
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102 ## @end example
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103 ##
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104 ## @noindent
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105 ## in which @var{x} is a vector and @var{r} is a vector.
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106 ##
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107 ## The third and fourth arguments may also be 2-element cell arrays of
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108 ## function handles. The first element should point to the constraint
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109 ## function and the second should point to a function that computes the
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110 ## gradient of the constraint function:
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111 ##
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112 ## @example
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113 ## [ d f(x) d f(x) d f(x) ]
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114 ## transpose ( [ ------ ----- ... ------ ] )
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115 ## [ dx_1 dx_2 dx_N ]
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116 ## @end example
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117 ##
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118 ## Here is an example of calling @code{sqp}:
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119 ##
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120 ## @example
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121 ## function r = g (x)
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122 ## r = [ sumsq(x)-10; x(2)*x(3)-5*x(4)*x(5); x(1)^3+x(2)^3+1];
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123 ## endfunction
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124 ##
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125 ## function obj = phi (x)
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126 ## obj = exp(prod(x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
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127 ## endfunction
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128 ##
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129 ## x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
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130 ##
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131 ## [x, obj, info, iter, nf, lambda] = sqp (x0, @@phi, @@g, [])
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132 ##
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133 ## x =
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134 ##
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135 ## -1.71714
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136 ## 1.59571
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137 ## 1.82725
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138 ## -0.76364
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139 ## -0.76364
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140 ##
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141 ## obj = 0.053950
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142 ## info = 101
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143 ## iter = 8
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144 ## nf = 10
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145 ## lambda =
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146 ##
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147 ## -0.0401627
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148 ## 0.0379578
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149 ## -0.0052227
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150 ## @end example
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151 ##
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152 ## The value returned in @var{info} may be one of the following:
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153 ## @table @asis
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154 ## @item 101
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155 ## The algorithm terminated because the norm of the last step was less
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156 ## than @code{tol * norm (x))} (the value of tol is currently fixed at
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157 ## @code{sqrt (eps)}---edit @file{sqp.m} to modify this value.
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158 ## @item 102
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159 ## The BFGS update failed.
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160 ## @item 103
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161 ## The maximum number of iterations was reached (the maximum number of
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162 ## allowed iterations is currently fixed at 100---edit @file{sqp.m} to
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163 ## increase this value).
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164 ## @end table
5642
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165 ## @seealso{qp}
5289
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166 ## @end deftypefn
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167
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168 function [x, obj, info, iter, nf, lambda] = sqp (x, objf, cef, cif)
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169
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170 global nfun;
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171 global __sqp_obj_fun__;
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172 global __sqp_ce_fun__;
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173 global __sqp_ci_fun__;
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174
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175 if (nargin >= 2 && nargin <= 4)
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176
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177 ## Choose an initial NxN symmetric positive definite Hessan
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178 ## approximation B.
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179
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180 n = length (x);
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181
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182 ## Evaluate objective function, constraints, and gradients at initial
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183 ## value of x.
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184 ##
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185 ## obj_fun
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186 ## obj_grad
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187 ## ce_fun -- equality constraint functions
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188 ## ci_fun -- inequality constraint functions
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189 ## A == [grad_{x_1} cx_fun, grad_{x_2} cx_fun, ..., grad_{x_n} cx_fun]^T
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190
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191 obj_grd = @fd_obj_grd;
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192 have_hess = 0;
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193 if (iscell (objf))
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194 if (length (objf) > 0)
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195 __sqp_obj_fun__ = obj_fun = objf{1};
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196 if (length (objf) > 1)
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197 obj_grd = objf{2};
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198 if (length (objf) > 2)
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199 obj_hess = objf{3};
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200 have_hess = 1;
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201 endif
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202 endif
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203 else
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204 error ("sqp: invalid objective function");
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205 endif
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206 else
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207 __sqp_obj_fun__ = obj_fun = objf;
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208 endif
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209
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210 ce_fun = @empty_cf;
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211 ce_grd = @empty_jac;
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212 if (nargin > 2)
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213 ce_grd = @fd_ce_jac;
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214 if (iscell (cef))
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215 if (length (cef) > 0)
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216 __sqp_ce_fun__ = ce_fun = cef{1};
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217 if (length (cef) > 1)
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218 ce_grd = cef{2};
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219 endif
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220 else
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221 error ("sqp: invalid equality constraint function");
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222 endif
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223 elseif (! isempty (cef))
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224 ce_fun = cef;
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225 endif
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226 endif
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227 __sqp_ce_fun__ = ce_fun;
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228
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229 ci_fun = @empty_cf;
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230 ci_grd = @empty_jac;
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231 if (nargin > 3)
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232 ci_grd = @fd_ci_jac;
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233 if (iscell (cif))
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diff changeset
234 if (length (cif) > 0)
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235 __sqp_ci_fun__ = ci_fun = cif{1};
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236 if (length (cif) > 1)
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237 ci_grd = cif{2};
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238 endif
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239 else
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240 error ("sqp: invalid equality constraint function");
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241 endif
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242 elseif (! isempty (cif))
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243 ci_fun = cif;
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244 endif
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245 endif
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246 __sqp_ci_fun__ = ci_fun;
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247
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248 iter_max = 100;
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249
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250 iter = 0;
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251
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252 obj = feval (obj_fun, x);
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253 nfun = 1;
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254
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255 c = feval (obj_grd, x);
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256
6382
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parents: 6046
diff changeset
257 if (have_hess)
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258 B = feval (obj_hess, x);
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259 else
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260 B = eye (n, n);
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diff changeset
261 endif
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262
5289
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263 ce = feval (ce_fun, x);
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264 F = feval (ce_grd, x);
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265
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266 ci = feval (ci_fun, x);
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267 C = feval (ci_grd, x);
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268
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269 A = [F; C];
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270
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271 ## Choose an initial lambda (x is provided by the caller).
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272
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273 lambda = 100 * ones (rows (A), 1);
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274
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275 qp_iter = 1;
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276 alpha = 1;
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277
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parents:
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278 ## report ();
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279
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280 ## report (iter, qp_iter, alpha, nfun, obj);
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281
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diff changeset
282 while (++iter < iter_max)
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283
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284 ## Check convergence. This is just a simple check on the first
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285 ## order necessary conditions.
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286
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287 ## IDX is the indices of the active inequality constraints.
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288
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289 nr_f = rows (F);
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diff changeset
290
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291 lambda_e = lambda((1:nr_f)');
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292 lambda_i = lambda((nr_f+1:end)');
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293
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diff changeset
294 con = [ce; ci];
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diff changeset
295
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diff changeset
296 t0 = norm (c - A' * lambda);
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diff changeset
297 t1 = norm (ce);
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diff changeset
298 t2 = all (ci >= 0);
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299 t3 = all (lambda_i >= 0);
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300 t4 = norm (lambda .* con);
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parents:
diff changeset
301
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diff changeset
302 tol = sqrt (eps);
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parents:
diff changeset
303
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parents:
diff changeset
304 if (t2 && t3 && max ([t0; t1; t4]) < tol)
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305 break;
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jwe
parents:
diff changeset
306 endif
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diff changeset
307
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jwe
parents:
diff changeset
308 ## Compute search direction p by solving QP.
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parents:
diff changeset
309
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parents:
diff changeset
310 g = -ce;
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diff changeset
311 d = -ci;
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diff changeset
312
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parents:
diff changeset
313 ## Discard inequality constraints that have -Inf bounds since those
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parents:
diff changeset
314 ## will never be active.
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diff changeset
315 idx = isinf (d) & d < 0;
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diff changeset
316 d(idx) = [];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
317 C(idx,:) = [];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
318
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
319 [p, obj_qp, INFO, lambda] = qp (x, B, c, F, g, [], [], d, C,
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
320 Inf * ones (size (d)));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
321
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
322 info = INFO.info;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
323
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
324 ## Check QP solution and attempt to recover if it has failed.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
325
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
326 ## Choose mu such that p is a descent direction for the chosen
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
327 ## merit function phi.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
328
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
329 [x_new, alpha, obj_new] = linesearch_L1 (x, p, obj_fun, obj_grd,
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
330 ce_fun, ci_fun, lambda, obj);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
331
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
332 ## Evaluate objective function, constraints, and gradients at
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
333 ## x_new.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
334
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
335 c_new = feval (obj_grd, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
336
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
337 ce_new = feval (ce_fun, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
338 F_new = feval (ce_grd, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
339
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
340 ci_new = feval (ci_fun, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
341 C_new = feval (ci_grd, x_new);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
342
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
343 A_new = [F_new; C_new];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
344
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
345 ## Set
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
346 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
347 ## s = alpha * p
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
348 ## y = grad_x L (x_new, lambda) - grad_x L (x, lambda})
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
349
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
350 y = c_new - c;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
351
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
352 if (! isempty (A))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
353 t = ((A_new - A)'*lambda);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
354 y -= t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
355 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
356
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
357 delx = x_new - x;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
358
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
359 if (norm (delx) < tol * norm (x))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
360 info = 101;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
361 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
362 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
363
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
364 if (have_hess)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
365
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
366 B = feval (obj_hess, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
367
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
368 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
369
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
370 ## Update B using a quasi-Newton formula.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
371
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
372 delxt = delx';
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
373
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
374 ## Damped BFGS. Or maybe we would actually want to use the Hessian
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
375 ## of the Lagrangian, computed directly.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
376
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
377 d1 = delxt*B*delx;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
378
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
379 t1 = 0.2 * d1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
380 t2 = delxt*y;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
381
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
382 if (t2 < t1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
383 theta = 0.8*d1/(d1 - t2);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
384 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
385 theta = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
386 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
387
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
388 r = theta*y + (1-theta)*B*delx;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
389
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
390 d2 = delxt*r;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
391
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
392 if (d1 == 0 || d2 == 0)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
393 info = 102;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
394 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
395 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
396
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
397 B = B - B*delx*delxt*B/d1 + r*r'/d2;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
398
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
399 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
400
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
401 x = x_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
402
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
403 obj = obj_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
404
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
405 c = c_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
406
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
407 ce = ce_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
408 F = F_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
409
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
410 ci = ci_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
411 C = C_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
412
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
413 A = A_new;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
414
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
415 ## report (iter, qp_iter, alpha, nfun, obj);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
416
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
417 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
418
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
419 if (iter >= iter_max)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
420 info = 103;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
421 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
422
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
423 nf = nfun;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
424
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
425 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
426
6046
34f96dd5441b [project @ 2006-10-10 16:10:25 by jwe]
jwe
parents: 5642
diff changeset
427 print_usage ();
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
428
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
429 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
430
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
431 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
432
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
433
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
434 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
435
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
436 global nfun;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
437
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
438 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
439 ci = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
440
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
441 idx = ci < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
442
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
443 con = [ce; ci(idx)];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
444
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
445 if (isempty (obj))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
446 obj = feval (obj_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
447 nfun++;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
448 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
449
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
450 merit = obj;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
451 t = norm (con, 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
452
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
453 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
454 merit += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
455 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
456
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
457 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
458
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
459
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
460 function [x_new, alpha, obj] = linesearch_L1 (x, p, obj_fun, obj_grd,
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
461 ce_fun, ci_fun, lambda, obj)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
462
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
463 ## Choose parameters
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
464 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
465 ## eta in the range (0, 0.5)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
466 ## tau in the range (0, 1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
467
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
468 eta = 0.25;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
469 tau = 0.5;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
470
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
471 delta_bar = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
472
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
473 if (isempty (lambda))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
474 mu = 1 / delta_bar;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
475 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
476 mu = 1 / (norm (lambda, Inf) + delta_bar);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
477 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
478
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
479 alpha = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
480
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
481 c = feval (obj_grd, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
482 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
483
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
484 [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
485
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
486 D_phi_x_mu = c' * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
487 d = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
488 ## only those elements of d corresponding
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
489 ## to violated constraints should be included.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
490 idx = d < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
491 t = - norm ([ce; d(idx)], 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
492 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
493 D_phi_x_mu += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
494 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
495
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
496 while (1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
497 [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
498 p2 = phi_x_mu+eta*alpha*D_phi_x_mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
499 if (p1 > p2)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
500 ## 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
501 ## range (0, tau).
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
502 tau_alpha = 0.9 * tau; ## ??
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
503 alpha = tau_alpha * alpha;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
504 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
505 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
506 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
507 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
508
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
509 ## Set x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
510
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
511 x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
512
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
513 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
514
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
515
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
516 function report (iter, qp_iter, alpha, nfun, obj)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
517
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
518 if (nargin == 0)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
519 printf (" Itn ItQP Step Nfun Objective\n");
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
520 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
521 printf ("%5d %4d %8.1g %5d %13.6e\n", iter, qp_iter, alpha, nfun, obj);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
522 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
523
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
524 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
525
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
526
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
527 function grd = fdgrd (f, x)
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 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
530 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
531 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
532 grd = zeros (nx, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
533 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
534 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
535 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
536 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
537 grd(i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
538 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
539 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
540 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
541 grd = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
542 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
543
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
544 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
545
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
546
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
547 function jac = fdjac (f, x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
548
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
549 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
550 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
551 nf = length (y0);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
552 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
553 jac = zeros (nf, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
554 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
555 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
556 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
557 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
558 jac(:,i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
559 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
560 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
561 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
562 jac = zeros (0, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
563 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
564
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
565 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
566
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
567
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
568 function grd = fd_obj_grd (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
569
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
570 global __sqp_obj_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
571
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
572 grd = fdgrd (__sqp_obj_fun__, x);
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 ### endfunction
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
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
577 function res = empty_cf (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 res = zeros (0, 1);
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 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
582
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
583
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
584 function res = empty_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
585
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
586 res = zeros (0, length (x));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
587
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
588 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
589
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
590
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
591 function jac = fd_ce_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
592
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
593 global __sqp_ce_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
594
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
595 jac = fdjac (__sqp_ce_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
596
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
597 ### endfunction
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
598
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
599
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
600 function jac = fd_ci_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
601
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
602 global __sqp_ci_fun__;
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 jac = fdjac (__sqp_ci_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
605
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
606 ### endfunction