Class PrimalDualInteriorPointMinimizer
- java.lang.Object
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- dev.nm.solver.multivariate.constrained.convex.sdp.socp.interiorpoint.PrimalDualInteriorPointMinimizer
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- All Implemented Interfaces:
Minimizer<SOCPDualProblem,IterativeSolution<PrimalDualSolution>>
,ConstrainedMinimizer<SOCPDualProblem,IterativeSolution<PrimalDualSolution>>
,Optimizer<SOCPDualProblem,IterativeSolution<PrimalDualSolution>>
public class PrimalDualInteriorPointMinimizer extends Object implements ConstrainedMinimizer<SOCPDualProblem,IterativeSolution<PrimalDualSolution>>
Solves a Dual Second Order Conic Programming problem using the Primal Dual Interior Point algorithm. The dual problem is of the form: \[ \max_y \mathbf{b'y} \textrm{ s.t.,} \\ \mathbf{\hat{A}_i'y + s_i = \hat{c}_i} \\ s_i \in K_i, i = 1, 2, ..., q \]- See Also:
- "Andreas Antoniou, Wu-Sheng Lu, "Algorithm 14.5, Section 14.8.2, A primal-dual interior-point algorithm," Practical Optimization: Algorithms and Engineering Applications."
- "K. C. Toh, M. J. Todd, R. H. Tütüncü, "On the implementation and usage of SDPT3 - a MATLAB software package for semidefinite-quadratic-linear programming, version 4.0," in Handbook on Semidefinite, Cone and Polynomial Optimization: Theory, Algorithms, Software and Applications, Anjos, M. and Lasserre, J.B., ED. Springer, 2012, pp. 715--754."
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Nested Class Summary
Nested Classes Modifier and Type Class Description class
PrimalDualInteriorPointMinimizer.Solution
This is the solution to a Dual Second Order Conic Programming problem using the Primal Dual Interior Point algorithm.
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Constructor Summary
Constructors Constructor Description PrimalDualInteriorPointMinimizer(double epsilon, int maxIterations)
Constructs a Primal Dual Interior Point minimizer to solve Dual Second Order Conic Programming problems.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description PrimalDualInteriorPointMinimizer.Solution
solve(SOCPDualProblem problem)
Solve an optimization problem, e.g.,OptimProblem
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Constructor Detail
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PrimalDualInteriorPointMinimizer
public PrimalDualInteriorPointMinimizer(double epsilon, int maxIterations)
Constructs a Primal Dual Interior Point minimizer to solve Dual Second Order Conic Programming problems.- Parameters:
epsilon
- a precision parameter: when a number |x| ≤ ε, it is considered 0maxIterations
- the maximum number of iterations
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Method Detail
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solve
public PrimalDualInteriorPointMinimizer.Solution solve(SOCPDualProblem problem) throws Exception
Description copied from interface:Optimizer
Solve an optimization problem, e.g.,OptimProblem
.- Specified by:
solve
in interfaceOptimizer<SOCPDualProblem,IterativeSolution<PrimalDualSolution>>
- Parameters:
problem
- an optimization problem- Returns:
- a solution to the optimization problem
- Throws:
Exception
- when there is an error solving the problem
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