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qp() issues?
From: |
fork |
Subject: |
qp() issues? |
Date: |
Wed, 7 Dec 2011 18:21:27 +0000 (UTC) |
User-agent: |
Loom/3.14 (http://gmane.org/) |
I am (mostly) successfully using qp(), but I am running into a problem that I
don't quite understand. (I will try to explain in the abstract, and I am not
cutting and pasting the code directly because there is too much going on to see
the problem directly.)
(I am using Nit's 3.4.3 build on Windows.)
I am trying to model having elements of my decision variable be decrease
monotonically plus a little bit. Let's say the optimization variable is x, with
x = [x1 x2 x3 x4], and I want x2<x1-.1, etc. So I write an inequality matrix
like A_in=[-1 1 0 0] and A_ub=0; which gives me what I expect (x2<=x1).
However, when I set A_ub=-.00001, qp() says the problem is infeasible.
The actual decision variable is 86 elements long. I have packed all the other
parameters of qp() with upper and lower bounds on all the elements of x and some
equality constraints to force parts of x to maintain constant relative
proportions. (I can imagine there being issues with all the constraints
stomping on each other.)
Does this issue ring any bells? Am I making a mistake, or is this a bug?
I am new to optimization, so (as always) feel free to point out the obvious.
I looked at the OCT file, but I don't understand the algorithm enough to have
anything to say about it (I know I still you owe you a new which() function, and
I can understand that...)
Thanks again for great software.