https://github.com/pedro-ricardo/quadprog
Quadratic programming routine based on R Package sources. Changed to have a Matlab like interface and usage examples in C and Fortran.
https://github.com/pedro-ricardo/quadprog
c modern-fortran quadprog quadratic-programming solver
Last synced: 13 days ago
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Quadratic programming routine based on R Package sources. Changed to have a Matlab like interface and usage examples in C and Fortran.
- Host: GitHub
- URL: https://github.com/pedro-ricardo/quadprog
- Owner: pedro-ricardo
- License: gpl-3.0
- Created: 2021-03-29T12:23:09.000Z (about 4 years ago)
- Default Branch: master
- Last Pushed: 2021-03-29T19:55:47.000Z (about 4 years ago)
- Last Synced: 2025-06-13T07:48:44.251Z (15 days ago)
- Topics: c, modern-fortran, quadprog, quadratic-programming, solver
- Language: Fortran
- Homepage:
- Size: 38.1 KB
- Stars: 3
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# QuadProg Solver
Simple Quadratic programming solver. Many thanks to [Felipeasg](https://github.com/Felipeasg) that found and started this interface.
The solver credit goes to a Cran `R` [package](https://github.com/cran/quadprog).
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 :
```fortran
call quadprog(n,q,qeq,H,f,Aeq,beq,lb,ub, x,tol,res,err)
```
or
```fortran
call quadprog(n,q,qeq,H,f,Aeq,beq, x,tol,res,err)
```
### C callings :
```c
quadprog(n,q,qeq,H,f,Aeq,beq,lb,ub, x,tol,res,err)
```
or
```c
quadprog(n,q,qeq,H,f,Aeq,beq,NULL,NULL, x,tol,res,err)
```