octave-nkf: scripts/optimization/sqp.m annotate

annotate scripts/optimization/sqp.m @ 19047:7bbe3658c5ef

maint: Use "FIXME:" coding convention in m-files. * flipdim.m, prepad.m, rotdim.m, doc.m, strread.m, textread.m, krylov.m, colon.m, dump_prefs.m, fileattrib.m, getappdata.m, __xzip__.m, unpack.m, fsolve.m, axis.m, meshc.m, print.m, __ghostscript__.m, __go_draw_axes__.m, __print_parse_opts__.m, struct2hdl.m, unique.m, spstats.m, treeplot.m, test.m, datestr.m: Use "FIXME:" coding convention in m-files.

author	Rik <rik@octave.org>
date	Wed, 25 Jun 2014 13:45:41 -0700
parents	f58a6cd3f909
children	0e1f5a750d00

rev	line source
17744 d63878346099 maint: Update copyright notices for release. John W. Eaton <jwe@octave.org> parents: 17338 diff changeset	1 ## Copyright (C) 2005-2013 John W. Eaton
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	2 ## Copyright (C) 2013 Arun Giridhar
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	3 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	4 ## This file is part of Octave.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	5 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	6 ## Octave is free software; you can redistribute it and/or modify it
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	7 ## under the terms of the GNU General Public License as published by
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	8 ## the Free Software Foundation; either version 3 of the License, or (at
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	9 ## your option) any later version.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	10 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	11 ## Octave is distributed in the hope that it will be useful, but
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	14 ## General Public License for more details.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	15 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	16 ## You should have received a copy of the GNU General Public License
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	17 ## along with Octave; see the file COPYING. If not, see
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 7001 diff changeset	18 ## <http://www.gnu.org/licenses/>.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	19
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	20 ## -- texinfo --
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	21 ## @deftypefn {Function File} {[@var{x}, @var{obj}, @var{info}, @var{iter}, @var{nf}, @var{lambda}] =} sqp (@var{x0}, @var{phi})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	22 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	23 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	24 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub})
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	25 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter})
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	26 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter}, @var{tol})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	27 ## Solve the nonlinear program
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	28 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	29 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	30 ## \min_x \phi (x)
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	31 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	32 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	33 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	34 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	35 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	36 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	37 ## min phi (x)
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	38 ## x
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	39 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	40 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	41 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	42 ## @end ifnottex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	43 ## subject to
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	44 ## @tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	45 ## $$
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	46 ## g(x) = 0 \qquad h(x) \geq 0 \qquad lb \leq x \leq ub
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	47 ## $$
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	48 ## @end tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	49 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	50 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	51 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	52 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	53 ## g(x) = 0
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	54 ## h(x) >= 0
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	55 ## lb <= x <= ub
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	56 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	57 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	58 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	59 ## @end ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	60 ## @noindent
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	61 ## using a sequential quadratic programming method.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	62 ##
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	63 ## The first argument is the initial guess for the vector @var{x0}.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	64 ##
7001 8b0cfeb06365 [project @ 2007-10-10 18:02:59 by jwe] jwe parents: 6921 diff changeset	65 ## The second argument is a function handle pointing to the objective
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	66 ## function @var{phi}. The objective function must accept one vector
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	67 ## argument and return a scalar.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	68 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	69 ## The second argument may also be a 2- or 3-element cell array of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	70 ## function handles. The first element should point to the objective
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	71 ## function, the second should point to a function that computes the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	72 ## gradient of the objective function, and the third should point to a
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	73 ## function that computes the Hessian of the objective function. If the
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	74 ## gradient function is not supplied, the gradient is computed by finite
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	75 ## differences. If the Hessian function is not supplied, a BFGS update
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	76 ## formula is used to approximate the Hessian.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	77 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	78 ## When supplied, the gradient function @code{@var{phi}@{2@}} must accept
13931 9de488c6c59c doc: Spellcheck documentation before 3.6.0 release Rik <octave@nomad.inbox5.com> parents: 13929 diff changeset	79 ## one vector argument and return a vector. When supplied, the Hessian
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	80 ## function @code{@var{phi}@{3@}} must accept one vector argument and
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	81 ## return a matrix.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	82 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	83 ## The third and fourth arguments @var{g} and @var{h} are function
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	84 ## handles pointing to functions that compute the equality constraints
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	85 ## and the inequality constraints, respectively. If the problem does
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	86 ## not have equality (or inequality) constraints, then use an empty
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	87 ## matrix ([]) for @var{g} (or @var{h}). When supplied, these equality
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	88 ## and inequality constraint functions must accept one vector argument
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	89 ## and return a vector.
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	90 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	91 ## The third and fourth arguments may also be 2-element cell arrays of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	92 ## function handles. The first element should point to the constraint
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	93 ## function and the second should point to a function that computes the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	94 ## gradient of the constraint function:
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	95 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	96 ## $$
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	97 ## \Bigg( {\partial f(x) \over \partial x_1},
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	98 ## {\partial f(x) \over \partial x_2}, \ldots,
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	99 ## {\partial f(x) \over \partial x_N} \Bigg)^T
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	100 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	101 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	102 ## @ifnottex
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	103 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	104 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	105 ## @group
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	106 ## [ d f(x) d f(x) d f(x) ]
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	107 ## transpose ( [ ------ ----- ... ------ ] )
4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	108 ## [ dx_1 dx_2 dx_N ]
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	109 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	110 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	111 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	112 ## @end ifnottex
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	113 ## The fifth and sixth arguments, @var{lb} and @var{ub}, contain lower
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	114 ## and upper bounds on @var{x}. These must be consistent with the
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	115 ## equality and inequality constraints @var{g} and @var{h}. If the
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	116 ## arguments are vectors then @var{x}(i) is bound by @var{lb}(i) and
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	117 ## @var{ub}(i). A bound can also be a scalar in which case all elements
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	118 ## of @var{x} will share the same bound. If only one bound (lb, ub) is
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	119 ## specified then the other will default to (-@var{realmax},
88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	120 ## +@var{realmax}).
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	121 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	122 ## The seventh argument @var{maxiter} specifies the maximum number of
13929 9cae456085c2 Grammarcheck of documentation before 3.6.0 release. Rik <octave@nomad.inbox5.com> parents: 13305 diff changeset	123 ## iterations. The default value is 100.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	124 ##
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	125 ## The eighth argument @var{tol} specifies the tolerance for the
14868 5d3a684236b0 maint: Use Octave coding conventions for cuddling parentheses in scripts directory Rik <octave@nomad.inbox5.com> parents: 14595 diff changeset	126 ## stopping criteria. The default value is @code{sqrt (eps)}.
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	127 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	128 ## The value returned in @var{info} may be one of the following:
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	129 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	130 ## @table @asis
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	131 ## @item 101
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	132 ## The algorithm terminated normally.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	133 ## All constraints meet the specified tolerance.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	134 ##
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	135 ## @item 102
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	136 ## The BFGS update failed.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	137 ##
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	138 ## @item 103
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	139 ## The maximum number of iterations was reached.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	140 ##
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	141 ## @item 104
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	142 ## The stepsize has become too small, i.e.,
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	143 ## @tex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	144 ## $\Delta x,$
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	145 ## @end tex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	146 ## @ifnottex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	147 ## delta @var{x},
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	148 ## @end ifnottex
13207 88bd1d1d6657 Reword sqp's docstring Jordi Gutiérrez Hermoso <jordigh@octave.org> parents: 11587 diff changeset	149 ## is less than @code{@var{tol} * norm (x)}.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	150 ## @end table
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	151 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	152 ## An example of calling @code{sqp}:
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	153 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	154 ## @example
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	155 ## function r = g (x)
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	156 ## r = [ sumsq(x)-10;
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	157 ## x(2)x(3)-5x(4)*x(5);
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	158 ## x(1)^3+x(2)^3+1 ];
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	159 ## endfunction
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	160 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	161 ## function obj = phi (x)
14327 4d917a6a858b doc: Use Octave coding conventions in @example blocks of docstrings. Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	162 ## obj = exp (prod (x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	163 ## endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	164 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	165 ## x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	166 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	167 ## [x, obj, info, iter, nf, lambda] = sqp (x0, @@phi, @@g, [])
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	168 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	169 ## x =
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	170 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	171 ## -1.71714
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	172 ## 1.59571
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	173 ## 1.82725
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	174 ## -0.76364
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	175 ## -0.76364
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	176 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	177 ## obj = 0.053950
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	178 ## info = 101
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	179 ## iter = 8
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	180 ## nf = 10
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	181 ## lambda =
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	182 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	183 ## -0.0401627
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	184 ## 0.0379578
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	185 ## -0.0052227
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	186 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	187 ##
5642 2618a0750ae6 [project @ 2006-03-06 21:26:48 by jwe] jwe parents: 5307 diff changeset	188 ## @seealso{qp}
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	189 ## @end deftypefn
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	190
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	191 function [x, obj, info, iter, nf, lambda] = sqp (x0, objf, cef, cif, lb, ub, maxiter, tolerance)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	192
17336 b81b9d079515 Use '##' for comments which stand alone on a line. Rik <rik@octave.org> parents: 17245 diff changeset	193 globals = struct (); # data and handles, needed and changed by subfunctions
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	194
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	195 if (nargin < 2 \|\| nargin > 8 \|\| nargin == 5)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	196 print_usage ();
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	197 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	198
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	199 if (!isvector (x0))
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	200 error ("sqp: X0 must be a vector");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	201 endif
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	202 if (rows (x0) == 1)
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	203 x0 = x0';
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	204 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	205
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	206 have_hess = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	207 if (iscell (objf))
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	208 switch (numel (objf))
17174 c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	209 case 1
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	210 obj_fun = objf{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	211 obj_grd = @ (x) fd_obj_grd (x, obj_fun);
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	212 case 2
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	213 obj_fun = objf{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	214 obj_grd = objf{2};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	215 case 3
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	216 obj_fun = objf{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	217 obj_grd = objf{2};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	218 obj_hess = objf{3};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	219 have_hess = 1;
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	220 otherwise
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	221 error ("sqp: invalid objective function specification");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	222 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	223 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	224 obj_fun = objf; # No cell array, only obj_fun set
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	225 obj_grd = @ (x) fd_obj_grd (x, obj_fun);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	226 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	227
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	228 ce_fun = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	229 ce_grd = @empty_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	230 if (nargin > 2)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	231 if (iscell (cef))
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	232 switch (numel (cef))
17174 c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	233 case 1
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	234 ce_fun = cef{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	235 ce_grd = @ (x) fd_ce_jac (x, ce_fun);
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	236 case 2
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	237 ce_fun = cef{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	238 ce_grd = cef{2};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	239 otherwise
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	240 error ("sqp: invalid equality constraint function specification");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	241 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	242 elseif (! isempty (cef))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	243 ce_fun = cef; # No cell array, only constraint equality function set
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	244 ce_grd = @ (x) fd_ce_jac (x, ce_fun);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	245 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	246 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	247
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	248 ci_fun = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	249 ci_grd = @empty_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	250 if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	251 ## constraint function given by user with possible gradient
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	252 globals.cif = cif;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	253 ## constraint function given by user without gradient
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	254 globals.cifcn = @empty_cf;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	255 if (iscell (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	256 if (length (cif) > 0)
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	257 globals.cifcn = cif{1};
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	258 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	259 elseif (! isempty (cif))
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	260 globals.cifcn = cif;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	261 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	262
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	263 if (nargin < 5 \|\| (nargin > 5 && isempty (lb) && isempty (ub)))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	264 ## constraint inequality function only without any bounds
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	265 ci_grd = @ (x) fd_ci_jac (x, globals.cifcn);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	266 if (iscell (cif))
16933 e39f00a32dc7 maint: Use parentheses around condition for switch(),while(),if() statements. Rik <rik@octave.org> parents: 16064 diff changeset	267 switch (length (cif))
17174 c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	268 case 1
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	269 ci_fun = cif{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	270 case 2
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	271 ci_fun = cif{1};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	272 ci_grd = cif{2};
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	273 otherwise
c3c1ebfaa7dc maint: Use common indentation for switch statement. Rik <rik@octave.org> parents: 16933 diff changeset	274 error ("sqp: invalid inequality constraint function specification");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	275 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	276 elseif (! isempty (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	277 ci_fun = cif; # No cell array, only constraint inequality function set
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	278 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	279 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	280 ## constraint inequality function with bounds present
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	281 lb_idx = ub_idx = true (size (x0));
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	282 ub_grad = - (lb_grad = eye (rows (x0)));
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	283 if (isvector (lb))
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	284 globals.lb = tmp_lb = lb(:);
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	285 lb_idx(:) = tmp_idx = (lb != -Inf);
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	286 globals.lb = globals.lb(tmp_idx, 1);
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	287 lb_grad = lb_grad(lb_idx, :);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	288 elseif (isempty (lb))
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	289 if (isa (x0, "single"))
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	290 globals.lb = tmp_lb = -realmax ("single");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	291 else
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	292 globals.lb = tmp_lb = -realmax;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	293 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	294 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	295 error ("sqp: invalid lower bound");
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	296 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	297
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	298 if (isvector (ub))
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	299 globals.ub = tmp_ub = ub(:);
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	300 ub_idx(:) = tmp_idx = (ub != Inf);
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	301 globals.ub = globals.ub(tmp_idx, 1);
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	302 ub_grad = ub_grad(ub_idx, :);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	303 elseif (isempty (ub))
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	304 if (isa (x0, "single"))
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	305 globals.ub = tmp_ub = realmax ("single");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	306 else
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	307 globals.ub = tmp_ub = realmax;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	308 endif
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	309 else
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	310 error ("sqp: invalid upper bound");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	311 endif
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	312
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	313 if (any (tmp_lb > tmp_ub))
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	314 error ("sqp: upper bound smaller than lower bound");
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	315 endif
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	316 bounds_grad = [lb_grad; ub_grad];
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	317 ci_fun = @ (x) cf_ub_lb (x, lb_idx, ub_idx, globals);
11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	318 ci_grd = @ (x) cigrad_ub_lb (x, bounds_grad, globals);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	319 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	320
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	321 endif # if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	322
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	323 iter_max = 100;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	324 if (nargin > 6 && ! isempty (maxiter))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	325 if (isscalar (maxiter) && maxiter > 0 && fix (maxiter) == maxiter)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	326 iter_max = maxiter;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	327 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	328 error ("sqp: invalid number of maximum iterations");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	329 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	330 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	331
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	332 tol = sqrt (eps);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	333 if (nargin > 7 && ! isempty (tolerance))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	334 if (isscalar (tolerance) && tolerance > 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	335 tol = tolerance;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	336 else
11472 1740012184f9 Use uppercase for variable names in error() strings to match Info documentation. Only m-files done. Rik <octave@nomad.inbox5.com> parents: 11371 diff changeset	337 error ("sqp: invalid value for TOLERANCE");
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	338 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	339 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	340
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	341 ## Initialize variables for search loop
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	342 ## Seed x with initial guess and evaluate objective function, constraints,
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	343 ## and gradients at initial value x0.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	344 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	345 ## obj_fun -- objective function
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	346 ## obj_grad -- objective gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	347 ## ce_fun -- equality constraint functions
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	348 ## ci_fun -- inequality constraint functions
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	349 ## A == [grad_{x_1} cx_fun, grad_{x_2} cx_fun, ..., grad_{x_n} cx_fun]^T
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	350 x = x0;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	351
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	352 obj = feval (obj_fun, x0);
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	353 globals.nfun = 1;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	354
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	355 c = feval (obj_grd, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	356
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	357 ## Choose an initial NxN symmetric positive definite Hessian approximation B.
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	358 n = length (x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	359 if (have_hess)
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	360 B = feval (obj_hess, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	361 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	362 B = eye (n, n);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	363 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	364
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	365 ce = feval (ce_fun, x0);
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	366 F = feval (ce_grd, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	367
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	368 ci = feval (ci_fun, x0);
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	369 C = feval (ci_grd, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	370
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	371 A = [F; C];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	372
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	373 ## Choose an initial lambda (x is provided by the caller).
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	374 lambda = 100 * ones (rows (A), 1);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	375
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	376 qp_iter = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	377 alpha = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	378
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	379 info = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	380 iter = 0;
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	381 # report (); # Called with no arguments to initialize reporting
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	382 # report (iter, qp_iter, alpha, __sqp_nfun__, obj);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	383
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	384 while (++iter < iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	385
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	386 ## Check convergence. This is just a simple check on the first
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	387 ## order necessary conditions.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	388 nr_f = rows (F);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	389
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	390 lambda_e = lambda((1:nr_f)');
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	391 lambda_i = lambda((nr_f+1:end)');
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	392
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	393 con = [ce; ci];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	394
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	395 t0 = norm (c - A' * lambda);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	396 t1 = norm (ce);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	397 t2 = all (ci >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	398 t3 = all (lambda_i >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	399 t4 = norm (lambda .* con);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	400
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	401 ## Normal convergence. All constraints are satisfied
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	402 ## and objective has converged.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	403 if (t2 && t3 && max ([t0; t1; t4]) < tol)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	404 info = 101;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	405 break;
6382 f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe] jwe parents: 6046 diff changeset	406 endif
f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe] jwe parents: 6046 diff changeset	407
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	408 ## Compute search direction p by solving QP.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	409 g = -ce;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	410 d = -ci;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	411
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	412 [p, obj_qp, INFO, lambda] = qp (x, B, c, F, g, [], [], d, C,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	413 Inf (size (d)));
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	414
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	415 info = INFO.info;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	416
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	417 ## FIXME: check QP solution and attempt to recover if it has failed.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	418 ## For now, just warn about possible problems.
13206 658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	419
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	420 id = "Octave:SQP-QP-subproblem";
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	421 switch (info)
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	422 case 2
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	423 warning (id, "sqp: QP subproblem is non-convex and unbounded");
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	424 case 3
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	425 warning (id, "sqp: QP subproblem failed to converge in %d iterations",
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	426 INFO.solveiter);
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	427 case 6
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	428 warning (id, "sqp: QP subproblem is infeasible");
658aa9fd8665 sqp: provide warnings for QP subproblem failures John W. Eaton <jwe@octave.org> parents: 11587 diff changeset	429 endswitch
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	430
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	431 ## Choose mu such that p is a descent direction for the chosen
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	432 ## merit function phi.
17245 7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	433 [x_new, alpha, obj_new, globals] = ...
7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	434 linesearch_L1 (x, p, obj_fun, obj_grd, ce_fun, ci_fun, lambda, ...
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	435 obj, globals);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	436
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	437 ## Evaluate objective function, constraints, and gradients at x_new.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	438 c_new = feval (obj_grd, x_new);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	439
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	440 ce_new = feval (ce_fun, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	441 F_new = feval (ce_grd, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	442
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	443 ci_new = feval (ci_fun, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	444 C_new = feval (ci_grd, x_new);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	445
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	446 A_new = [F_new; C_new];
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	447
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	448 ## Set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	449 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	450 ## s = alpha * p
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	451 ## y = grad_x L (x_new, lambda) - grad_x L (x, lambda})
6527 2a04f026ef54 [project @ 2007-04-16 16:54:09 by jwe] jwe parents: 6382 diff changeset	452
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	453 y = c_new - c;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	454
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	455 if (! isempty (A))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	456 t = ((A_new - A)'*lambda);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	457 y -= t;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	458 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	459
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	460 delx = x_new - x;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	461
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	462 ## Check if step size has become too small (indicates lack of progress).
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	463 if (norm (delx) < tol * norm (x))
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	464 info = 104;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	465 break;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	466 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	467
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	468 if (have_hess)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	469
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	470 B = feval (obj_hess, x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	471
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	472 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	473 ## Update B using a quasi-Newton formula.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	474 delxt = delx';
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	475
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	476 ## Damped BFGS. Or maybe we would actually want to use the Hessian
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	477 ## of the Lagrangian, computed directly?
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	478 d1 = delxtBdelx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	479
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	480 t1 = 0.2 * d1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	481 t2 = delxt*y;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	482
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	483 if (t2 < t1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	484 theta = 0.8*d1/(d1 - t2);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	485 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	486 theta = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	487 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	488
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	489 r = thetay + (1-theta)B*delx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	490
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	491 d2 = delxt*r;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	492
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	493 ## Check if the next BFGS update will work properly.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	494 ## If d1 or d2 vanish, the BFGS update will fail.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	495 if (d1 == 0 \|\| d2 == 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	496 info = 102;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	497 break;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	498 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	499
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	500 B = B - BdelxdelxtB/d1 + rr'/d2;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	501
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	502 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	503
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	504 x = x_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	505
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	506 obj = obj_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	507
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	508 c = c_new;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	509
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	510 ce = ce_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	511 F = F_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	512
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	513 ci = ci_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	514 C = C_new;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	515
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	516 A = A_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	517
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	518 # report (iter, qp_iter, alpha, __sqp_nfun__, obj);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	519
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	520 endwhile
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	521
18280 f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008). Arun Giridhar <arungiridhar@gmail.com> parents: 17744 diff changeset	522 ## Check if we've spent too many iterations without converging.
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	523 if (iter >= iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	524 info = 103;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	525 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	526
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	527 nf = globals.nfun;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	528
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	529 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	530
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	531
17245 7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	532 function [merit, obj, globals] = phi_L1 (obj, obj_fun, ce_fun, ci_fun, ...
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	533 x, mu, globals)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	534
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	535 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	536 ci = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	537
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	538 idx = ci < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	539
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	540 con = [ce; ci(idx)];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	541
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	542 if (isempty (obj))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	543 obj = feval (obj_fun, x);
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	544 globals.nfun++;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	545 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	546
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	547 merit = obj;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	548 t = norm (con, 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	549
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	550 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	551 merit += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	552 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	553
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	554 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	555
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	556
17245 7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	557 function [x_new, alpha, obj, globals] = ...
7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	558 linesearch_L1 (x, p, obj_fun, obj_grd, ce_fun, ci_fun, lambda, ...
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	559 obj, globals)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	560
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	561 ## Choose parameters
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	562 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	563 ## eta in the range (0, 0.5)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	564 ## tau in the range (0, 1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	565
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	566 eta = 0.25;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	567 tau = 0.5;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	568
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	569 delta_bar = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	570
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	571 if (isempty (lambda))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	572 mu = 1 / delta_bar;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	573 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	574 mu = 1 / (norm (lambda, Inf) + delta_bar);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	575 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	576
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	577 alpha = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	578
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	579 c = feval (obj_grd, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	580 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	581
17245 7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	582 [phi_x_mu, obj, globals] = phi_L1 (obj, obj_fun, ce_fun, ci_fun, x, ...
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	583 mu, globals);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	584
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	585 D_phi_x_mu = c' * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	586 d = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	587 ## only those elements of d corresponding
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	588 ## to violated constraints should be included.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	589 idx = d < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	590 t = - norm ([ce; d(idx)], 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	591 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	592 D_phi_x_mu += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	593 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	594
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	595 while (1)
17245 7babcdb9bc13 Use ... instead of \ for line continuation marker. Stefan Mahr <dac922@gmx.de> parents: 17174 diff changeset	596 [p1, obj, globals] = phi_L1 ([], obj_fun, ce_fun, ci_fun, ...
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	597 x+alpha*p, mu, globals);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	598 p2 = phi_x_mu+etaalphaD_phi_x_mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	599 if (p1 > p2)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	600 ## Reset alpha = tau_alpha * alpha for some tau_alpha in the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	601 ## range (0, tau).
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	602 tau_alpha = 0.9 * tau; # ??
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	603 alpha = tau_alpha * alpha;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	604 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	605 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	606 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	607 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	608
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	609 x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	610
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	611 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	612
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	613
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	614 function grd = fdgrd (f, x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	615
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	616 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	617 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	618 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	619 grd = zeros (nx, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	620 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	621 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	622 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	623 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	624 grd(i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	625 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	626 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	627 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	628 grd = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	629 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	630
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	631 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	632
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	633
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	634 function jac = fdjac (f, x)
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	635
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	636 nx = length (x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	637 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	638 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	639 nf = length (y0);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	640 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	641 jac = zeros (nf, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	642 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	643 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	644 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	645 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	646 jac(:,i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	647 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	648 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	649 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	650 jac = zeros (0, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	651 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	652
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	653 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	654
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	655
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	656 function grd = fd_obj_grd (x, obj_fun)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	657
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	658 grd = fdgrd (obj_fun, x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	659
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	660 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	661
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	662
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	663 function res = empty_cf (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	664
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	665 res = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	666
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	667 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	668
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	669
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	670 function res = empty_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	671
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	672 res = zeros (0, length (x));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	673
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	674 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	675
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	676
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	677 function jac = fd_ce_jac (x, ce_fun)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	678
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	679 jac = fdjac (ce_fun, x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	680
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	681 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	682
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	683
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	684 function jac = fd_ci_jac (x, cifcn)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	685
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	686 ## cifcn = constraint function without gradients and lb or ub
11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	687 jac = fdjac (cifcn, x);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	688
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	689 endfunction
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	690
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	691
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	692 function res = cf_ub_lb (x, lbidx, ubidx, globals)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	693
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	694 ## combine constraint function with ub and lb
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	695 if (isempty (globals.cifcn))
11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	696 res = [x(lbidx,1)-globals.lb; globals.ub-x(ubidx,1)];
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	697 else
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	698 res = [feval(globals.cifcn,x); x(lbidx,1)-globals.lb;
11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	699 globals.ub-x(ubidx,1)];
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	700 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	701
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	702 endfunction
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	703
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	704
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	705 function res = cigrad_ub_lb (x, bgrad, globals)
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	706
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	707 cigradfcn = @ (x) fd_ci_jac (x, globals.cifcn);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	708
14595 11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	709 if (iscell (globals.cif) && length (globals.cif) > 1)
11a9d448fdc3 Get rid of global variables in sqp. Olaf Till <i7tiol@t-online.de> parents: 14552 diff changeset	710 cigradfcn = globals.cif{2};
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	711 endif
11587 c792872f8942 all script files: untabify and strip trailing whitespace John W. Eaton <jwe@octave.org> parents: 11523 diff changeset	712
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	713 if (isempty (cigradfcn))
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	714 res = bgrad;
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	715 else
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	716 res = [feval(cigradfcn,x); bgrad];
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	717 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	718
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	719 endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	720
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	721 # Utility function used to debug sqp
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	722 function report (iter, qp_iter, alpha, nfun, obj)
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	723
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	724 if (nargin == 0)
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	725 printf (" Itn ItQP Step Nfun Objective\n");
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	726 else
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	727 printf ("%5d %4d %8.1g %5d %13.6e\n", iter, qp_iter, alpha, nfun, obj);
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	728 endif
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	729
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	730 endfunction
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	731
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	732
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	733 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	734 %% Test Code
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	735
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	736 %!function r = __g (x)
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	737 %! r = [sumsq(x)-10;
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	738 %! x(2)x(3)-5x(4)*x(5);
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	739 %! x(1)^3+x(2)^3+1 ];
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	740 %!endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	741 %!
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	742 %!function obj = __phi (x)
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	743 %! obj = exp (prod (x)) - 0.5*(x(1)^3 + x(2)^3 + 1)^2;
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	744 %!endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	745 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	746 %!test
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	747 %!
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	748 %! x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	749 %!
13305 63463570d9fe Add %!endfunction block keyword to test.m Rik <octave@nomad.inbox5.com> parents: 13268 diff changeset	750 %! [x, obj, info, iter, nf, lambda] = sqp (x0, @__phi, @__g, []);
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	751 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	752 %! x_opt = [-1.717143501952599;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	753 %! 1.595709610928535;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	754 %! 1.827245880097156;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	755 %! -0.763643103133572;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	756 %! -0.763643068453300];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	757 %!
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	758 %! obj_opt = 0.0539498477702739;
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	759 %!
15757 534a2c881f45 Increase test tolerance on sqp (bug #37742) Mike Miller <mtmiller@ieee.org> parents: 14868 diff changeset	760 %! assert (x, x_opt, 8*sqrt (eps));
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	761 %! assert (obj, obj_opt, sqrt (eps));
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	762
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	763 %% Test input validation
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	764 %!error sqp ()
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	765 %!error sqp (1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	766 %!error sqp (1,2,3,4,5,6,7,8,9)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	767 %!error sqp (1,2,3,4,5)
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	768 %!error sqp (ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	769 %!error sqp (1, cell (4,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	770 %!error sqp (1, cell (3,1), cell (3,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	771 %!error sqp (1, cell (3,1), cell (2,1), cell (3,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	772 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1), ones (2,2),[])
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	773 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	774 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),1,-1)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	775 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	776 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],-1)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	777 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],1.5)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	778 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14327 diff changeset	779 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],[],-1)
17338 1c89599167a6 maint: End m-files with 1 blank line. Rik <rik@octave.org> parents: 17336 diff changeset	780

Mercurial > hg > octave-nkf

annotate scripts/optimization/sqp.m @ 19047:7bbe3658c5ef