james34602 / quadprog

Solving quadratic programming problem using subgradient optimization library

Geek Repo:Geek Repo

Github PK Tool:Github PK Tool

Quadratic programming solver

Description

Solve quadratic programming problem with linear constraints. Equation

Same calling convention as Matlab counterpart. Equality constraints and boundary constraints are already bake in to the solver.

Details

The C version of this quadprog algorithm was written back in October, 2019, seem to be fun if it go open source.

The algorithm use the nonlinear optimizer SolvOpt, it implement Shor's r-algorithm.

Solving a QP problem with nonlinear optimizer would probably overkill, it will just works anyway.

Accuracy

I'm not sure, but according to my real world application which uses current quadprog library as digital filter design, the final computed result of my real world application does not show accuracy is a major concern.

About

Solving quadratic programming problem using subgradient optimization library

License:MIT License


Languages

Language:C 100.0%