74 lines
1.8 KiB
C
74 lines
1.8 KiB
C
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#ifndef QUADPROG_H
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#define QUADPROG_H
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#ifdef __cplusplus
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extern "C" {
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#endif
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/*
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Quadradic Programming solution.
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Based on Luca Di Gaspero's QuadProgpp++, made available under the MIT license.
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Translation to C by Graeme W. Gill, Copyright 2017, also licensed under the
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MIT license.
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*/
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/*
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The quadprog_solve() function implements the algorithm of Goldfarb and Idnani
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for the solution of a (convex) Quadratic Programming problem
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by means of an active-set dual method.
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The problem is in the form:
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min 0.5 * x G x + g0 x
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s.t.
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CE^t x + ce0 = 0
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CI^t x + ci0 >= 0
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The matrix and vectors dimensions are as follows:
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G: n * n
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g0: n
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CE: n * p
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ce0: p
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CI: n * m
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ci0: m
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x: n
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References: D. Goldfarb, A. Idnani. A numerically stable dual method for solving
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strictly convex quadratic programs. Mathematical Programming 27 (1983) pp. 1-33.
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NOTE that this function doesn't work if the objective function (i.e. G + g0) has lower dimension
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than n. Using dummy terms doesn't seem to work around this.
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It only works with convex problems - i.e. those where it is possible to reach
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the optimum starting anywhere on the constraint surface.
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*/
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#define QP_INFEASIBLE 1.0E300
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double quadprog( /* Return solution cost, QP_INFEASIBLE if infeasible/error */
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double *x, /* Return x[n] value */
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double **G, /* G[n][n] Quadratic combination matrix - modified */
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double *g0, /* g0[n] Direct vector */
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double **CE, /* CE[n][p] Equality constraint matrix */
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double *ce0, /* ce0[p] Equality constraing constants */
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double **CI, /* CI[n][m] Constraint matrix */
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double *ci0, /* cie[m] Constraint constants */
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int n, /* Number of variables */
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int p, /* Number of equalities */
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int m /* Number of constraints */
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);
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#ifdef __cplusplus
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}
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#endif
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#endif /*define QUADPROG_H */
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