Optimo  0.1.0 A C++ header library for optimization
optimo::solvers::SparsePrimalDualQP< Scalar > Class Template Reference

Solves a constrained quadratic program (QP) More...

#include <sparse_primal_dual_qp_api.h>

Inheritance diagram for optimo::solvers::SparsePrimalDualQP< Scalar >:

## Classes

class  Params
QP parameters defining the problem. More...

## Public Member Functions

TERMINATION_TYPE operator() (Params *params, Matrix< Scalar, Dynamic, 1 > *y, Scalar *min_value)
Solve the QP program.

Public Attributes inherited from optimo::solvers::Solver< Scalar >
struct
optimo::solvers::Solver::Options
options
Solver parameters.

## Detailed Description

### template<typename Scalar = double> class optimo::solvers::SparsePrimalDualQP< Scalar >

Solves a constrained quadratic program (QP)

Solves the following constrained quadratic program (QP):

\begin{eqnarray*} \underset{\mathbf{x}}{\text{minimize}} & \frac{\mathbf{x}^T Q \mathbf{x}}{2} + & \mathbf{d}^T\mathbf{x} \\ \text{subject to} & & \\ A_{\text{eq}} \mathbf{x} & = & \mathbf{b}_{\text{eq}} \\ A_{\text{in}} \mathbf{x} & \leq & \mathbf{b}_{\text in} \\ \end{eqnarray*}

where $$A_{\text{in}} \in \mathbb{R}^{m \times n}$$, $$A_{\text{eq}} \in \mathbb{R}^{p \times n}$$, $$\mathbf{b}_{\text{in}} \in \mathbb{R}^{m}$$, $$\mathbf{b}_{\text{eq}} \in \mathbb{R}^{p}$$, $$\mathbf{d} \in \mathbb{R}^n$$, $$Q \in \mathbb{R}^{n \times n}$$ and $$\mathbf{x} \in \mathbb{R}^n$$.

This QP solver implements a primal dual interior point method where

• n: Number of unkowns
• m: Number of inequalities
• p: Number of equalities

The solver requires a vector

$\mathbf{y} = \begin{bmatrix} \mathbf{x}^T & \lambda^T & \nu^T \end{bmatrix}^T$

where the primal and dual variables are stored.

The documentation for this class was generated from the following file: