qlp.hh

   1 #ifndef QLP_HH
   2 #define QLP_HH
   3
   4 #include "matrix.hh"
   5
   6 /// inequality constrained quadratic program
   7 class Ineq_constrained_qp {
   8     friend class Active_constraints;
   9
  10     svec<Vector> cons;
  11     svec<Real> consrhs;
  12 public:
  13     Matrix quad;
  14     Vector lin;
  15     Real const_term;
  16
  17     ///
  18     void assert_solution(Vector sol) const;
  19     /**
  20       use a KKT method to assert optimality of sol
  21       */
  22     /// solve the problem using a projected gradient method
  23     Vector solve(Vector start) const;
  24
  25     int dim() const{
  26         return lin.dim();
  27     }
  28     /** return the number of variables in the problem */
  29     ///
  30     void add_inequality_cons(Vector c, double r);
  31     /**
  32       add a constraint
  33
  34
  35         c*vars >= r
  36
  37       PRE
  38       c.dim() == dim();
  39
  40       */
  41     ///
  42     Ineq_constrained_qp(int novars);
  43     /** set up matrices to go with the problem. */
  44
  45     Real eval(Vector v);
  46     /**
  47     evaluate the quadratic function for input #v#
  48     */
  49
  50     void eliminate_var(int idx, Real value);
  51     void OK()const;
  52     void print() const;
  53
  54 };
  55
  56 /// Quadratic programming with mixed linear constraints
  57 class Mixed_qp :public Ineq_constrained_qp {
  58     svec<int> eq_cons;
  59     svec<Real> eq_consrhs;
  60 public:
  61     Mixed_qp(int n);
  62     void OK() const;
  63     void print() const;
  64
  65     Vector solve(Vector start) const;
  66     void add_fixed_var(int i , Real value);
  67
  68     ///
  69     void add_equality_cons(Vector c, double r);
  70     /**
  71       add a constraint,
  72
  73         c*vars == r
  74
  75       PRE
  76       c.dim()==dim();
  77      */
  78
  79 };
  80 /**
  81   problem definition of a quadratic optimisation problem with linear
  82   inequality and equality constraints
  83
  84
  85     x^T QUAD x /2 + b^T x
  86 */
  87
  88
  89 #endif