Solves Quadratic Programming (QP) problem using the primal-dual active-set solver QPKWIK. More...

#include <ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp>

Inheritance diagram for ConstrainedOptPack::QPSolverRelaxedQPKWIK:

Private Types
typedef FortranTypes::f_int	f_int

typedef std::vector< f_int >	IBND_t

typedef std::vector< f_int >	IACTSTORE_t

typedef std::vector< f_int >	IACT_t

typedef std::vector< f_int >	ISTATE_t

Private Attributes
QPSolverStats	qp_stats_

IBND_t	IBND_INV_

f_int	N_

f_int	M1_

f_int	M2_

f_int	M3_

DVector	GRAD_

DMatrix	UINV_AUG_

f_int	LDUINV_AUG_

IBND_t	IBND_

DVector	BL_

DVector	BU_

DMatrix	A_

f_int	LDA_

DVector	YPY_

f_int	IYPY_

f_int	WARM_

value_type	NUMPARAM_ [3]

f_int	MAX_ITER_

DVector	X_

f_int	NACTSTORE_

IACTSTORE_t	IACTSTORE_

f_int	INF_

f_int	NACT_

IACT_t	IACT_

DVector	UR_

value_type	EXTRA_

f_int	ITER_

f_int	NUM_ADDS_

f_int	NUM_DROPS_

ISTATE_t	ISTATE_

f_int	LRW_

DVector	RW_

Initialization
	STANDARD_MEMBER_COMPOSITION_MEMBERS (value_type, max_qp_iter_frac)
	Set the maximum number of QP iterations as max_itr = max_qp_iter_frac * n. More...

	STANDARD_MEMBER_COMPOSITION_MEMBERS (value_type, infinite_bound)
	Set the value of an infinite bound. More...

	QPSolverRelaxedQPKWIK (value_type max_qp_iter_frac=10.0, value_type infinite_bound=1e+20)

	~QPSolverRelaxedQPKWIK ()

Overridden from QPSolverRelaxed
QPSolverStats	get_qp_stats () const

void	release_memory ()

QPSolverStats::ESolutionType	imp_solve_qp (std::ostream out, EOutputLevel olevel, ERunTests test_what, const Vector &g, const MatrixSymOp &G, value_type etaL, const Vector dL, const Vector dU, const MatrixOp E, BLAS_Cpp::Transp trans_E, const Vector b, const Vector eL, const Vector eU, const MatrixOp F, BLAS_Cpp::Transp trans_F, const Vector f, value_type obj_d, value_type eta, VectorMutable d, VectorMutable nu, VectorMutable mu, VectorMutable Ed, VectorMutable lambda, VectorMutable *Fd)

Detailed Description

Solves Quadratic Programming (QP) problem using the primal-dual active-set solver QPKWIK.

In this implementation it is required that G support the {MatrixExtractInvCholFactor} interface and is therefore quite restrictive on the likes of QPs it can solve.

Definition at line 61 of file ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp.

Member Typedef Documentation

typedef FortranTypes::f_int ConstrainedOptPack::QPSolverRelaxedQPKWIK::f_int

private

Definition at line 124 of file ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp.

typedef std::vector<f_int> ConstrainedOptPack::QPSolverRelaxedQPKWIK::IBND_t

private

Definition at line 126 of file ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp.

typedef std::vector<f_int> ConstrainedOptPack::QPSolverRelaxedQPKWIK::IACTSTORE_t

private

Definition at line 128 of file ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp.

typedef std::vector<f_int> ConstrainedOptPack::QPSolverRelaxedQPKWIK::IACT_t

private

Definition at line 130 of file ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp.

typedef std::vector<f_int> ConstrainedOptPack::QPSolverRelaxedQPKWIK::ISTATE_t

private

Definition at line 132 of file ConstrainedOptPack_QPSolverRelaxedQPKWIK.hpp.

Constructor & Destructor Documentation

ConstrainedOptPack::QPSolverRelaxedQPKWIK::QPSolverRelaxedQPKWIK	(	value_type	max_qp_iter_frac = `10.0`,
		value_type	infinite_bound = `1e+20`
	)

ConstrainedOptPack::QPSolverRelaxedQPKWIK::~QPSolverRelaxedQPKWIK ( )

Member Function Documentation

ConstrainedOptPack::QPSolverRelaxedQPKWIK::STANDARD_MEMBER_COMPOSITION_MEMBERS	(	value_type	,
		max_qp_iter_frac
	)

Set the maximum number of QP iterations as max_itr = max_qp_iter_frac * n.

ConstrainedOptPack::QPSolverRelaxedQPKWIK::STANDARD_MEMBER_COMPOSITION_MEMBERS	(	value_type	,
		infinite_bound
	)

Set the value of an infinite bound.

QPSolverStats ConstrainedOptPack::QPSolverRelaxedQPKWIK::get_qp_stats ( ) const

virtual

Implements ConstrainedOptPack::QPSolverRelaxed.

void ConstrainedOptPack::QPSolverRelaxedQPKWIK::release_memory ( )

virtual

Implements ConstrainedOptPack::QPSolverRelaxed.

QPSolverStats::ESolutionType ConstrainedOptPack::QPSolverRelaxedQPKWIK::imp_solve_qp	(	std::ostream *	out,
		EOutputLevel	olevel,
		ERunTests	test_what,
		const Vector &	g,
		const MatrixSymOp &	G,
		value_type	etaL,
		const Vector *	dL,
		const Vector *	dU,
		const MatrixOp *	E,
		BLAS_Cpp::Transp	trans_E,
		const Vector *	b,
		const Vector *	eL,
		const Vector *	eU,
		const MatrixOp *	F,
		BLAS_Cpp::Transp	trans_F,
		const Vector *	f,
		value_type *	obj_d,
		value_type *	eta,
		VectorMutable *	d,
		VectorMutable *	nu,
		VectorMutable *	mu,
		VectorMutable *	Ed,
		VectorMutable *	lambda,
		VectorMutable *	Fd
	)