Class ActiveSetQPSolver solves convex quadratic programming (QP) problems.
Namespace:
CenterSpace.NMath.AnalysisAssembly: NMath (in NMath.dll) Version: 5.1.0.0
Syntax
| C# |
|---|
public class ActiveSetQPSolver |
| Visual Basic (Declaration) |
|---|
Public Class ActiveSetQPSolver |
| Visual C++ |
|---|
public ref class ActiveSetQPSolver |
Remarks
QP problems are of the form:
Minimize x'Hx + x'c
Subject to
ai'x = bi, for i in E,
ai'x >= bi, for i in I
where H is a symmetric matrix (sometimes called the Hessian) and E and I are finite sets of Indices, using an active-set method. This method is applicable only to convex problems, in which the matrix H is positive semidefinite.
Algorithm based on: Numerical Optimization, 2nd Edition, Jorge Nocedal, Stephen J. Wright, ISBN 978-0-387-30303-1, Chapter 16, Algorithm 16.3.
Minimize x'Hx + x'c
Subject to
ai'x = bi, for i in E,
ai'x >= bi, for i in I
where H is a symmetric matrix (sometimes called the Hessian) and E and I are finite sets of Indices, using an active-set method. This method is applicable only to convex problems, in which the matrix H is positive semidefinite.
Algorithm based on: Numerical Optimization, 2nd Edition, Jorge Nocedal, Stephen J. Wright, ISBN 978-0-387-30303-1, Chapter 16, Algorithm 16.3.
