dev.nm.solver.multivariate.constrained.general.sqp.activeset

Interface SQPASVariation

All Known Implementing Classes:

SQPASVariation1

public interface SQPASVariation

This interface allows customization of certain operations in the Active Set algorithm to solve a general constrained minimization problem using Sequential Quadratic Programming.

Method Summary

Modifier and Type	Method and Description
double	alpha(Vector x, Vector d, Vector v, Vector u) Get the percentage increment along the minimizer increment direction.
Matrix	getInitialHessian(Vector x0, Vector v0, Vector u0) Get the initial Hessian matrix.
Matrix	updateHessian(Vector x1, Vector v1, Vector u1, Vector d, Vector g0, Matrix Ae0, Matrix Ai0, Matrix W0) Update the Hessian matrix using the latest iterates.

Method Detail

getInitialHessian

Matrix getInitialHessian(Vector x0,
                         Vector v0,
                         Vector u0)

Get the initial Hessian matrix.

Parameters:

x0 - the initial minimizer

v0 - the initial Lagrange multipliers for equality constraints (lambda)

u0 - the initial Lagrange multipliers for inequality constraints (mu)

Returns:

the initial Hessian matrix, e.g., identity

updateHessian

Matrix updateHessian(Vector x1,
                     Vector v1,
                     Vector u1,
                     Vector d,
                     Vector g0,
                     Matrix Ae0,
                     Matrix Ai0,
                     Matrix W0)

Update the Hessian matrix using the latest iterates.

Parameters:

x1 - the next minimizer

v1 - the next Lagrange multipliers for equality constraints (lambda)

u1 - the next Lagrange multipliers for inequality constraints (mu)

d - the minimizer increment

g0 - the gradient

Ae0 - the set of active equality constraints

Ai0 - the set of active inequality constraints

W0 - the current Hessian matrix

Returns:

the next Hessian matrix

alpha

double alpha(Vector x,
             Vector d,
             Vector v,
             Vector u)

Get the percentage increment along the minimizer increment direction.

Parameters:

x - the current minimizer

d - the minimizer increment

v - the Lagrange multipliers for equality constraints (lambda)

u - the Lagrange multipliers for inequality constraints (mu)

Returns:

the percentage increment