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

annotate scripts/optimization/sqp.m @ 11371:c767bb1afa03

sqp.m: Fix indexing error in sqp bounds selection

author	Olaf Till <olaf.till@uni-jena.de>
date	Thu, 16 Dec 2010 07:39:04 -0800
parents	2ae0ca4ee36b
children	1740012184f9

rev	line source
9245 16f53d29049f update copyright notices John W. Eaton <jwe@octave.org> parents: 9211 diff changeset	1 ## Copyright (C) 2005, 2006, 2007, 2008, 2009 John W. Eaton
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	2 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	3 ## This file is part of Octave.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	4 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	5 ## 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	6 ## 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	7 ## 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	8 ## your option) any later version.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	9 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	10 ## 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	11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	13 ## General Public License for more details.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	14 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	15 ## 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	16 ## 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	17 ## <http://www.gnu.org/licenses/>.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	18
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	19 ## -- 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	20 ## @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	21 ## @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	22 ## @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	23 ## @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	24 ## @deftypefnx {Function File} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter})
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}, @var{tolerance})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	26 ## Solve the nonlinear program
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	27 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	28 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	29 ## \min_x \phi (x)
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	30 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	31 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	32 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	33 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	34 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	35 ## @group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	36 ## min phi (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	37 ## x
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	38 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	39 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	40 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	41 ## @end ifnottex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	42 ## subject to
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	43 ## @tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	44 ## $$
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	45 ## g(x) = 0 \qquad h(x) \geq 0 \qquad lb \leq x \leq ub
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	46 ## $$
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	47 ## @end tex
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	48 ## @ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	49 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	50 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	51 ## @group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	52 ## g(x) = 0
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	53 ## h(x) >= 0
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	54 ## lb <= x <= ub
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	55 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	56 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	57 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	58 ## @end ifnottex
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	59 ## @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	60 ## using a sequential quadratic programming method.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	61 ##
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	62 ## 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	63 ##
7001 8b0cfeb06365 [project @ 2007-10-10 18:02:59 by jwe] jwe parents: 6921 diff changeset	64 ## The second argument is a function handle pointing to the objective
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	65 ## function. The objective function must be of the form
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	66 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	67 ## @example
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	68 ## @var{y} = phi (@var{x})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	69 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	70 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	71 ## @noindent
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	72 ## in which @var{x} is a vector and @var{y} is a scalar.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	73 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	74 ## 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	75 ## function handles. The first element should point to the objective
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	76 ## 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	77 ## 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	78 ## 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	79 ## 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	80 ## 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	81 ## formula is used to approximate the Hessian.
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	82 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	83 ## When supplied, the gradient function must be of the form
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	84 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	85 ## @example
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	86 ## @var{g} = gradient (@var{x})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	87 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	88 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	89 ## @noindent
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	90 ## in which @var{x} is a vector and @var{g} is a vector.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	91 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	92 ## When supplied, the Hessian function must be of the form
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	93 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	94 ## @example
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	95 ## @var{h} = hessian (@var{x})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	96 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	97 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	98 ## @noindent
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	99 ## in which @var{x} is a vector and @var{h} is a matrix.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	100 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	101 ## The third and fourth arguments are function handles pointing to
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	102 ## functions that compute the equality constraints and the inequality
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	103 ## constraints, respectively.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	104 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	105 ## If the problem does not have equality (or inequality) constraints,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	106 ## then use an empty matrix ([]) for @var{cef} (or @var{cif}).
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	107 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	108 ## When supplied, the equality and inequality constraint functions must be
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	109 ## of the form
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	110 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	111 ## @example
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	112 ## @var{r} = f (@var{x})
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	113 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	114 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	115 ## @noindent
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	116 ## in which @var{x} is a vector and @var{r} is a vector.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	117 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	118 ## 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	119 ## function handles. The first element should point to the constraint
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	120 ## 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	121 ## gradient of the constraint function:
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	122 ## @tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	123 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	124 ## \Bigg( {\partial f(x) \over \partial x_1},
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	125 ## {\partial f(x) \over \partial x_2}, \ldots,
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	126 ## {\partial f(x) \over \partial x_N} \Bigg)^T
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	127 ## $$
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	128 ## @end tex
00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	129 ## @ifnottex
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	130 ##
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	131 ## @example
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	132 ## @group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	133 ## [ d f(x) d f(x) d f(x) ]
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	134 ## transpose ( [ ------ ----- ... ------ ] )
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	135 ## [ dx_1 dx_2 dx_N ]
9051 1bf0ce0930be Grammar check TexInfo in all .m files Rik <rdrider0-list@yahoo.com> parents: 8920 diff changeset	136 ## @end group
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	137 ## @end example
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	138 ##
6741 00116015904d [project @ 2007-06-18 16:07:14 by jwe] jwe parents: 6527 diff changeset	139 ## @end ifnottex
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	140 ## The fifth and sixth arguments contain lower and upper bounds
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	141 ## on @var{x}. These must be consistent with the equality and inequality
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	142 ## constraints @var{g} and @var{h}. If the arguments are vectors then
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	143 ## @var{x}(i) is bound by @var{lb}(i) and @var{ub}(i). A bound can also
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	144 ## be a scalar in which case all elements of @var{x} will share the same
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	145 ## bound. If only one bound (lb, ub) is specified then the other will
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	146 ## default to (-@var{realmax}, +@var{realmax}).
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	147 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	148 ## The seventh argument specifies the maximum number of iterations.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	149 ## The default value is 100.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	150 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	151 ## The eighth argument specifies the tolerance for the stopping criteria.
11290 646063a22a35 sqp.m: Use correct stopping tolerance in documentation. Rik <octave@nomad.inbox5.com> parents: 11120 diff changeset	152 ## 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	153 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	154 ## 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	155 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	156 ## @table @asis
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	157 ## @item 101
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	158 ## The algorithm terminated normally.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	159 ## Either all constraints meet the requested tolerance, or the stepsize,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	160 ## @tex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	161 ## $\Delta x,$
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	162 ## @end tex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	163 ## @ifnottex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	164 ## delta @var{x},
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	165 ## @end ifnottex
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	166 ## is less than @code{tol * norm (x)}.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	167 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	168 ## @item 102
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	169 ## The BFGS update failed.
10821 693e22af08ae Grammarcheck documentation of m-files Rik <octave@nomad.inbox5.com> parents: 10678 diff changeset	170 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	171 ## @item 103
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	172 ## The maximum number of iterations was reached.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	173 ## @end table
8167 17352ccd860e describe additional arguments in sqp() documentation string Ivan Sutoris <ivan.sutoris@gmail.com> parents: 8047 diff changeset	174 ##
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	175 ## An example of calling @code{sqp}:
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	176 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	177 ## @example
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	178 ## function r = g (x)
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	179 ## r = [ sumsq(x)-10;
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	180 ## x(2)x(3)-5x(4)*x(5);
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	181 ## x(1)^3+x(2)^3+1 ];
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	182 ## endfunction
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	183 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	184 ## function obj = phi (x)
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	185 ## obj = exp(prod(x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	186 ## endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	187 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	188 ## 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	189 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	190 ## [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	191 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	192 ## x =
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	193 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	194 ## -1.71714
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	195 ## 1.59571
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	196 ## 1.82725
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	197 ## -0.76364
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	198 ## -0.76364
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	199 ##
7031 120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	200 ## obj = 0.053950
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	201 ## info = 101
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	202 ## iter = 8
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	203 ## nf = 10
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	204 ## lambda =
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	205 ##
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	206 ## -0.0401627
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	207 ## 0.0379578
120f3135952f [project @ 2007-10-15 15:30:03 by jwe] jwe parents: 7017 diff changeset	208 ## -0.0052227
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	209 ## @end example
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	210 ##
5642 2618a0750ae6 [project @ 2006-03-06 21:26:48 by jwe] jwe parents: 5307 diff changeset	211 ## @seealso{qp}
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	212 ## @end deftypefn
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	213
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	214 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	215
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	216 global __sqp_nfun__;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	217 global __sqp_obj_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	218 global __sqp_ce_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	219 global __sqp_ci_fun__;
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	220 global __sqp_cif__;
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	221 global __sqp_cifcn__;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	222
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	223 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	224 print_usage ();
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	225 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	226
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	227 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	228 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	229 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	230 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	231 x0 = x0';
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	232 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	233
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	234 obj_grd = @fd_obj_grd;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	235 have_hess = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	236 if (iscell (objf))
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	237 switch (numel (objf))
a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	238 case 1
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	239 obj_fun = objf{1};
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	240 case 2
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	241 obj_fun = objf{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	242 obj_grd = objf{2};
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	243 case 3
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	244 obj_fun = objf{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	245 obj_grd = objf{2};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	246 obj_hess = objf{3};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	247 have_hess = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	248 otherwise
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	249 error ("sqp: invalid objective function specification");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	250 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	251 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	252 obj_fun = objf; # No cell array, only obj_fun set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	253 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	254 __sqp_obj_fun__ = obj_fun;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	255
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	256 ce_fun = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	257 ce_grd = @empty_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	258 if (nargin > 2)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	259 ce_grd = @fd_ce_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	260 if (iscell (cef))
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	261 switch (numel (cef))
a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	262 case 1
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	263 ce_fun = cef{1};
11120 a44f979a35ce style fixes for some .m files John W. Eaton <jwe@octave.org> parents: 10821 diff changeset	264 case 2
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	265 ce_fun = cef{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	266 ce_grd = cef{2};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	267 otherwise
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	268 error ("sqp: invalid equality constraint function specification");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	269 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	270 elseif (! isempty (cef))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	271 ce_fun = cef; # No cell array, only constraint equality function set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	272 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	273 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	274 __sqp_ce_fun__ = ce_fun;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	275
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	276 ci_fun = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	277 ci_grd = @empty_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	278 if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	279 ## constraint function given by user with possible gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	280 __sqp_cif__ = cif;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	281 ## constraint function given by user without gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	282 __sqp_cifcn__ = @empty_cf;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	283 if (iscell (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	284 if (length (cif) > 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	285 __sqp_cifcn__ = cif{1};
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	286 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	287 elseif (! isempty (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	288 __sqp_cifcn__ = cif;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	289 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	290
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	291 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	292 ## constraint inequality function only without any bounds
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	293 ci_grd = @fd_ci_jac;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	294 if (iscell (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	295 switch length (cif)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	296 case {1}
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	297 ci_fun = cif{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	298 case {2}
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	299 ci_fun = cif{1};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	300 ci_grd = cif{2};
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	301 otherwise
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	302 error ("sqp: invalid inequality constraint function specification");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	303 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	304 elseif (! isempty (cif))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	305 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	306 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	307 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	308 ## constraint inequality function with bounds present
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	309 global __sqp_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	310 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	311 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	312 if (isvector (lb))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	313 __sqp_lb__ = tmp_lb = lb(:);
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	314 lb_idx(:) = tmp_idx = (lb != -Inf);
11371 c767bb1afa03 sqp.m: Fix indexing error in sqp bounds selection Olaf Till <olaf.till@uni-jena.de> parents: 11348 diff changeset	315 __sqp_lb__ = __sqp_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	316 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	317 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	318 if (isa (x0, "single"))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	319 __sqp_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	320 else
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	321 __sqp_lb__ = tmp_lb = -realmax;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	322 endif
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	323 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	324 error ("sqp: invalid lower bound");
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	325 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	326
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	327 global __sqp_ub__;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	328 if (isvector (ub))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	329 __sqp_ub__ = tmp_ub = ub(:);
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	330 ub_idx(:) = tmp_idx = (ub != Inf);
11371 c767bb1afa03 sqp.m: Fix indexing error in sqp bounds selection Olaf Till <olaf.till@uni-jena.de> parents: 11348 diff changeset	331 __sqp_ub__ = __sqp_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	332 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	333 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	334 if (isa (x0, "single"))
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	335 __sqp_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	336 else
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	337 __sqp_ub__ = tmp_ub = realmax;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	338 endif
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	339 else
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	340 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	341 endif
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	342
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	343 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	344 error ("sqp: upper bound smaller than lower bound");
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	345 endif
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	346 bounds_grad = [lb_grad; ub_grad];
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	347 ci_fun = @ (x) cf_ub_lb (x, lb_idx, ub_idx);
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	348 ci_grd = @ (x) cigrad_ub_lb (x, bounds_grad);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	349 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	350
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	351 __sqp_ci_fun__ = ci_fun;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	352 endif # if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	353
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	354 iter_max = 100;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	355 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	356 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	357 iter_max = maxiter;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	358 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	359 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	360 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	361 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	362
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	363 tol = sqrt (eps);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	364 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	365 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	366 tol = tolerance;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	367 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	368 error ("sqp: invalid value for tolerance");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	369 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	370 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	371
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	372 ## 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	373 ## 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	374 ## 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	375 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	376 ## obj_fun -- objective function
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	377 ## obj_grad -- objective gradient
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	378 ## 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	379 ## 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	380 ## A == [grad_{x_1} cx_fun, grad_{x_2} cx_fun, ..., grad_{x_n} cx_fun]^T
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 x = x0;
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	382
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	383 obj = feval (obj_fun, x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	384 __sqp_nfun__ = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	385
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	386 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	387
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	388 ## 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	389 n = length (x0);
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	390 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	391 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	392 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	393 B = eye (n, n);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	394 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	395
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	396 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	397 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	398
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	399 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	400 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	401
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	402 A = [F; C];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	403
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	404 ## 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	405 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	406
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	407 qp_iter = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	408 alpha = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	409
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	410 info = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	411 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	412 # 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	413 # report (iter, qp_iter, alpha, __sqp_nfun__, obj);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	414
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	415 while (++iter < iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	416
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	417 ## 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	418 ## order necessary conditions.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	419 nr_f = rows (F);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	420
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	421 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	422 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	423
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	424 con = [ce; ci];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	425
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	426 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	427 t1 = norm (ce);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	428 t2 = all (ci >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	429 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	430 t4 = norm (lambda .* con);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	431
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	432 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	433 info = 101;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	434 break;
6382 f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe] jwe parents: 6046 diff changeset	435 endif
f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe] jwe parents: 6046 diff changeset	436
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	437 ## 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	438 g = -ce;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	439 d = -ci;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	440
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	441 [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	442 Inf (size (d)));
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	443
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	444 info = INFO.info;
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 ## Check QP solution and attempt to recover if it has failed.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	447
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	448 ## 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	449 ## merit function phi.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	450 [x_new, alpha, obj_new] = linesearch_L1 (x, p, obj_fun, obj_grd,
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	451 ce_fun, ci_fun, lambda, obj);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	452
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	453 ## 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	454 c_new = feval (obj_grd, x_new);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	455
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	456 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	457 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	458
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	459 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	460 C_new = feval (ci_grd, x_new);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	461
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	462 A_new = [F_new; C_new];
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	463
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	464 ## Set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	465 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	466 ## s = alpha * p
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	467 ## 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	468
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	469 y = c_new - c;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	470
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	471 if (! isempty (A))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	472 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	473 y -= t;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	474 endif
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 delx = x_new - x;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	477
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	478 if (norm (delx) < tol * norm (x))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	479 info = 101;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	480 break;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	481 endif
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 (have_hess)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	484
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	485 B = feval (obj_hess, x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	486
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	487 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	488 ## 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	489 delxt = 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 ## 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	492 ## 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	493 d1 = delxtBdelx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	494
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	495 t1 = 0.2 * d1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	496 t2 = delxt*y;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	497
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	498 if (t2 < t1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	499 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	500 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	501 theta = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	502 endif
5289 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 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	505
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	506 d2 = delxt*r;
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 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	509 info = 102;
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	510 break;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	511 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	512
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	513 B = B - BdelxdelxtB/d1 + rr'/d2;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	514
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	515 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	516
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	517 x = x_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	518
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	519 obj = obj_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	520
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	521 c = c_new;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	522
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	523 ce = ce_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	524 F = F_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	525
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	526 ci = ci_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	527 C = C_new;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	528
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	529 A = A_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	530
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	531 # 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	532
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	533 endwhile
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	534
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	535 if (iter >= iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	536 info = 103;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	537 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	538
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	539 nf = __sqp_nfun__;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	540
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	541 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	542
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	543
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	544 function [merit, obj] = phi_L1 (obj, obj_fun, ce_fun, ci_fun, x, mu)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	545
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	546 global __sqp_nfun__;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	547
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	548 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	549 ci = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	550
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	551 idx = ci < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	552
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	553 con = [ce; ci(idx)];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	554
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	555 if (isempty (obj))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	556 obj = feval (obj_fun, x);
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	557 __sqp_nfun__++;
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	558 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	559
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	560 merit = obj;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	561 t = norm (con, 1) / mu;
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 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	564 merit += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	565 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	566
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	567 endfunction
5289 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
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	570 function [x_new, alpha, obj] = linesearch_L1 (x, p, obj_fun, obj_grd,
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	571 ce_fun, ci_fun, lambda, obj)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	572
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	573 ## Choose parameters
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	574 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	575 ## eta in the range (0, 0.5)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	576 ## tau in the range (0, 1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	577
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	578 eta = 0.25;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	579 tau = 0.5;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	580
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	581 delta_bar = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	582
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	583 if (isempty (lambda))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	584 mu = 1 / delta_bar;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	585 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	586 mu = 1 / (norm (lambda, Inf) + delta_bar);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	587 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	588
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	589 alpha = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	590
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	591 c = feval (obj_grd, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	592 ce = feval (ce_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	593
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	594 [phi_x_mu, obj] = phi_L1 (obj, obj_fun, ce_fun, ci_fun, x, mu);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	595
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	596 D_phi_x_mu = c' * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	597 d = feval (ci_fun, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	598 ## only those elements of d corresponding
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	599 ## to violated constraints should be included.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	600 idx = d < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	601 t = - norm ([ce; d(idx)], 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	602 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	603 D_phi_x_mu += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	604 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	605
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	606 while (1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	607 [p1, obj] = phi_L1 ([], obj_fun, ce_fun, ci_fun, x+alpha*p, mu);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	608 p2 = phi_x_mu+etaalphaD_phi_x_mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	609 if (p1 > p2)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	610 ## 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	611 ## range (0, tau).
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	612 tau_alpha = 0.9 * tau; # ??
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	613 alpha = tau_alpha * alpha;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	614 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	615 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	616 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	617 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	618
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	619 x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	620
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	621 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	622
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	623
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	624 function grd = fdgrd (f, x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	625
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	626 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	627 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	628 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	629 grd = zeros (nx, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	630 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	631 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	632 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	633 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	634 grd(i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	635 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	636 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	637 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	638 grd = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	639 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	640
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	641 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	642
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	643
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	644 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	645
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	646 nx = length (x);
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	647 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	648 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	649 nf = length (y0);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	650 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	651 jac = zeros (nf, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	652 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	653 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	654 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	655 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	656 jac(:,i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	657 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	658 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	659 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	660 jac = zeros (0, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	661 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	662
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	663 endfunction
5289 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
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	666 function grd = fd_obj_grd (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	667
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	668 global __sqp_obj_fun__;
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 grd = fdgrd (__sqp_obj_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	671
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	672 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	673
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	674
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	675 function res = empty_cf (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	676
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	677 res = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	678
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	679 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	680
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	681
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	682 function res = empty_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	683
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	684 res = zeros (0, length (x));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	685
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	686 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	687
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	688
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	689 function jac = fd_ce_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	690
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	691 global __sqp_ce_fun__;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	692
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	693 jac = fdjac (__sqp_ce_fun__, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	694
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	695 endfunction
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	696
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	697
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	698 function jac = fd_ci_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	699
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	700 global __sqp_cifcn__;
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	701 ## __sqp_cifcn__ = constraint function without gradients and lb or ub
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	702 jac = fdjac (__sqp_cifcn__, x);
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	703
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	704 endfunction
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	705
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	706
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	707 function res = cf_ub_lb (x, lbidx, ubidx)
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	708
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	709 ## combine constraint function with ub and lb
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	710 global __sqp_cifcn__ __sqp_lb__ __sqp_ub__
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	711
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	712 if (isempty (__sqp_cifcn__))
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	713 res = [x(lbidx,1)-__sqp_lb__; __sqp_ub__-x(ubidx,1)];
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	714 else
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	715 res = [feval(__sqp_cifcn__,x); \
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	716 x(lbidx,1)-__sqp_lb__; __sqp_ub__-x(ubidx,1)];
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	717 endif
5289 b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe] jwe parents: diff changeset	718
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	719 endfunction
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	720
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	721
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	722 function res = cigrad_ub_lb (x, bgrad)
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	723
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	724 global __sqp_cif__
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	725
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	726 cigradfcn = @fd_ci_jac;
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	727
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	728 if (iscell (__sqp_cif__) && length (__sqp_cif__) > 1)
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	729 cigradfcn = __sqp_cif__{2};
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	730 endif
10549 95c3e38098bf Untabify .m scripts Rik <code@nomad.inbox5.com> parents: 10542 diff changeset	731
11347 2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	732 if (isempty (cigradfcn))
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	733 res = bgrad;
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	734 else
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742) Rik <octave@nomad.inbox5.com> parents: 11290 diff changeset	735 res = [feval(cigradfcn,x); bgrad];
6768 40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	736 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe] jwe parents: 6741 diff changeset	737
7399 c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe] jwe parents: 7381 diff changeset	738 endfunction
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	739
11348 2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	740 # 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	741 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	742
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	743 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	744 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	745 else
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	746 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	747 endif
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	748
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	749 endfunction
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	750
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	751 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector Rik <octave@nomad.inbox5.com> parents: 11347 diff changeset	752 %% 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	753
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	754 %!function r = g (x)
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	755 %! r = [sumsq(x)-10;
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	756 %! x(2)x(3)-5x(4)*x(5);
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	757 %! x(1)^3+x(2)^3+1 ];
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	758 %!
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	759 %!function obj = phi (x)
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	760 %! obj = exp(prod(x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	761 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	762 %!test
10678 35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	763 %!
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	764 %! 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	765 %!
7381 90b931a40617 [project @ 2008-01-15 19:12:14 by jwe] jwe parents: 7371 diff changeset	766 %! [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	767 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	768 %! x_opt = [-1.717143501952599;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	769 %! 1.595709610928535;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	770 %! 1.827245880097156;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	771 %! -0.763643103133572;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	772 %! -0.763643068453300];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	773 %!
7371 fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe] jwe parents: 7361 diff changeset	774 %! obj_opt = 0.0539498477702739;
7361 a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe] jwe parents: 7031 diff changeset	775 %!
8047 d54f113aa983 Increase test script tolerances. Thomas Treichl <Thomas.Treichl@gmx.net> parents: 7795 diff changeset	776 %! assert (all (abs (x-x_opt) < 5*sqrt (eps)) && abs (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	777
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	778 %% Test input validation
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	779 %!error sqp ()
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	780 %!error sqp (1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	781 %!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	782 %!error sqp (1,2,3,4,5)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	783 %!error sqp (ones(2,2))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	784 %!error sqp (1,cell(4,1))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	785 %!error sqp (1,cell(3,1),cell(3,1))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	786 %!error sqp (1,cell(3,1),cell(2,1),cell(3,1))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	787 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),ones(2,2),[])
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	788 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),[],ones(2,2))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	789 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),1,-1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	790 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),[],[],ones(2,2))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	791 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),[],[],-1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	792 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),[],[],1.5)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	793 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),[],[],[],ones(2,2))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds Rik <octave@nomad.inbox5.com> parents: 10549 diff changeset	794 %!error sqp (1,cell(3,1),cell(2,1),cell(2,1),[],[],[],-1)

Mercurial > hg > octave-nkf

annotate scripts/optimization/sqp.m @ 11371:c767bb1afa03