Re: new function for quadratic programming: pqpnonneg

[Jonathan Stickel]

I finally got a round to checking this function out.  However, my 
problem also has equality and inequality constraints in addition to 
x>=0.  Is it possible to add constraints and use the same implementation

Thanks,
Jonathan


On 09/11/2009 address@hidden wrote:
> Date: Fri, 11 Sep 2009 11:17:16 +0200
> From: Jaroslav Hajek <address@hidden>
> Subject: new function for quadratic programming: pqpnonneg
> To: Octave users list <address@hidden>
> Message-ID:
>     <address@hidden>
> Content-Type: text/plain; charset=ISO-8859-1
>
> hi all,
>
> I just contributed a new function: pqpnonneg (Positive Quadratic
> Programming in NONNEGative variables).
> It can be used to solve problems of the form
>
> min 1/2*x'*A*x + b'*x, all (x >= 0)
> where A is a positive definite matrix. The implementation exploits a
> duality between least squares and positive qp problems; it is very
> similar to lsqnonneg except that it solves the dual system A \ -b and
> works with a Cholesky factorization instead of QR (via qrinsert &
> qrdelete).
>
> If applicable, there are two advantages against qp:
>
> 1. it is usually significantly faster
> 2. it will always converge in a finite number of iterations (I think
> this follows from the Lawson-Hanson proof and the duality)
>
> both of these are of course very desirable. Here's a small benchmark
> creating an artificial problem and solving it via both pqpnonneg and
> qp: