[Ipopt] quadratic programming
Andreas Waechter
andreasw at watson.ibm.com
Mon Sep 15 09:40:22 EDT 2008
Hi Anand,
In general, Ipopt can solve quadratic optimization problems.
However, if in your case H is really the identity matrix, you can solve
this problem by hand. In this particular case, the problem is separable,
i.e., it is something like
min sum_i x_i^2 + f_i*x_i
s.t. lb_i <= x_i <= ub_i (for all i)
Since one x_i variable "does not influence any other", you can simply
write a number of one-dimensional problems
min x_i^2 + f_i*x_i
s..t lb_i <= x_i <= ub_i
and solve them analytically one after the other.
Hope this helps,
Andreas
On Mon, 15 Sep 2008, Anand wrote:
> Hi
> Over the last 3 days I have been searching the internet for a open source
> quadratic programming library in c/c++
> My problem is:
> minimize xHx' + xf
> subject to:
> lb <= x <= ub
>
> where H is an identity matrix and hence sparse for large dimensions
> x is a vector
>
> lb and ub are the lower and upper bounds respectively on the vector x
> Does ipopt solve such a problem
>
> Please tell me if you have any open source c/c++ library
> Also if possible give me suggestions as to what algorithms may be able to
> solve these algorithms
>
> Thanks
> Regards
> Anand
>
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