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 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