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QuadProg Solver

Simple Quadratic programming solver. Many thanks to Felipeasg that found and started this interface.

The solver credit goes to a Cran R package.

This repo simply translate that solver to use a Matlab like interface.

  • Both C and Fortran usage examples
  • Free from memmory leaks
  • Has a Blas dependency

Tested With:

Library Version
GCC 10.2.1
Valgrind 3.15.0
Blas 3.7.1

Usage

                                              /
     /                         \             |      [A].{x} <= {b}
    |  1                        |            |
min | --- {x}'[H]{x} + {f}'.{x} | such that <|    [Aeq].{x} = {beq}
 x  |  2                        |            |
     \                         /             |  {lb} <= {x} <= {ub}
                                              \

Arguments:

  • n (int): Number of variables
  • q (int): Total number of contraints (equality + inequality)
  • qeq (int): Number of equality constrains qeq (between 0 and q)
  • H (double) [n,n]: Matrix [H] as in the problem description
  • f (double) [n]: Vector {f} as in the problem description
  • Aeq (double) [q,n]: Joined matrices [A] and [Aeq] like:
            --     --
            | [Aeq] | [qeq,n]
Aeq [q,n] = |  [A]  | [q-qeq,n]
            --     --

  • beq (double) [q]: Joined vector [ [beq] [b] ]

  • lb (double) [n] Optional: Lower limits for x variable

  • ub (double) [n] Optional: Upper limits for x variable

  • tol (double): Solver tolerance

  • x (double) [n]: Optimun values

  • res (double): Solver residue

  • err (int): Error code, can be one of the following:

    • 0 - Success
    • 1 - Minimization problem has no solution
    • 2 - Problem in matrix [H] decomposition
    • 3 - Minimization problem solved but violates equality contrains
    • 4 - Minimization problem solved but violates inequality contrains

Fortran callings :

    call quadprog(n,q,qeq,H,f,Aeq,beq,lb,ub, x,tol,res,err)

or

    call quadprog(n,q,qeq,H,f,Aeq,beq, x,tol,res,err)

C callings :

    quadprog(n,q,qeq,H,f,Aeq,beq,lb,ub, x,tol,res,err)

or

    quadprog(n,q,qeq,H,f,Aeq,beq,NULL,NULL, x,tol,res,err)