Mercurial > hg > octave-lojdl
changeset 8280:5ee11a81688e
qp.m: convert b <= x <= b and b <= A*x <= b to equality constraints
author | Gabriele Pannocchia <g.pannocchia@ing.unipi.it> |
---|---|
date | Tue, 28 Oct 2008 12:31:00 -0400 |
parents | b3734f1cb592 |
children | 83c59e3f3106 |
files | scripts/ChangeLog scripts/optimization/qp.m |
diffstat | 2 files changed, 50 insertions(+), 7 deletions(-) [+] |
line wrap: on
line diff
--- a/scripts/ChangeLog +++ b/scripts/ChangeLog @@ -1,3 +1,8 @@ +2008-10-28 Gabriele Pannocchia <g.pannocchia@ing.unipi.it> + + * optimization/qp.m: Convert bounds of the form b <= x <= b and + constraints of the form b <= A*x <= b to equality constraints. + 2008-10-27 Søren Hauberg <hauberg@gmail.com> * plot/ellipsoid.m: Check nargin == 6, not nargin == 5.
--- a/scripts/optimization/qp.m +++ b/scripts/optimization/qp.m @@ -131,7 +131,7 @@ if (! isempty (lb)) if (length(lb) != n) error ("qp: lower bound has incorrect length"); - else + elseif (isempty (ub)) Ain = [Ain; eye(n)]; bin = [bin; lb]; endif @@ -140,11 +140,31 @@ if (! isempty (ub)) if (length (ub) != n) error ("qp: upper bound has incorrect length"); - else + elseif (isempty (lb)) Ain = [Ain; -eye(n)]; bin = [bin; -ub]; endif endif + + if (! isempty (lb) && ! isempty (ub)) + rtol = sqrt (eps); + for i = 1:n + if (abs(lb (i) - ub(i)) < rtol*(1 + max (abs (lb(i) + ub(i))))) + ## These are actually an equality constraint + tmprow = zeros(1,n); + tmprow(i) = 1; + A = [A;tmprow]; + b = [b; 0.5*(lb(i) + ub(i))]; + n_eq = n_eq + 1; + else + tmprow = zeros(1,n); + tmprow(i) = 1; + Ain = [Ain; tmprow; -tmprow]; + bin = [bin; lb(i); -ub(i)]; + n_in = n_in + 2; + endif + endfor + endif endif ## Inequality constraints @@ -156,7 +176,7 @@ if (! isempty (A_lb)) if (length (A_lb) != dimA_in) error ("qp: inequality constraint matrix and lower bound vector inconsistent"); - else + elseif (isempty (A_ub)) Ain = [Ain; A_in]; bin = [bin; A_lb]; endif @@ -164,11 +184,29 @@ if (! isempty (A_ub)) if (length (A_ub) != dimA_in) error ("qp: inequality constraint matrix and upper bound vector inconsistent"); - else + elseif (isempty (A_lb)) Ain = [Ain; -A_in]; bin = [bin; -A_ub]; endif endif + + if (! isempty (A_lb) && ! isempty (A_ub)) + rtol = sqrt (eps); + for i=1:dimA_in + if (abs (A_lb(i) - A_ub(i)) < rtol*(1 + max (abs (A_lb(i) + A_ub(i))))) + ## These are actually an equality constraint + tmprow = A_in(i,:); + A = [A;tmprow]; + b = [b; 0.5*(A_lb(i) + A_ub(i))]; + n_eq = n_eq + 1; + else + tmprow = A_in(i,:); + Ain = [Ain; tmprow; -tmprow]; + bin = [bin; A_lb(i); -A_ub(i)]; + n_in = n_in + 2; + endif + endfor + endif endif endif @@ -195,8 +233,8 @@ rtol = sqrt (eps); endif - eq_infeasible = (n_eq > 0 && norm (A*x0-b) > rtol*(1+norm (b))); - in_infeasible = (n_in > 0 && any (Ain*x0-bin < -rtol*(1+norm (bin)))); + eq_infeasible = (n_eq > 0 && norm (A*x0-b) > rtol*(1+abs (b))); + in_infeasible = (n_in > 0 && any (Ain*x0-bin < -rtol*(1+abs (bin)))); info = 0; if (eq_infeasible || in_infeasible) @@ -216,7 +254,7 @@ ## constraints also. if (n_in > 0) res = Ain * xbar - bin; - if (any (res < -rtol * (1 + norm (bin)))) + if (any (res < -rtol * (1 + abs (bin)))) ## xbar is not feasible with respect to the inequality ## constraints. Compute a step in the null space of the ## equality constraints, by solving a QP. If the slack is