Re: RFC: quadprog/lsqlin with __qp__ (Re: GSoC 2015, optim)

[AsmaA]

Hi Olaf,


Olaf Till-2 wrote
> Since there was no comment by others, we better don't rely on changes
> in qp.m. And although they are principally possible and harmful to our
> purpous, interface changes of __qp__.m seem unlikely. So let's wrap
> __qp__.m.

I have wrapped quadprog on __qp__. Could you please review the code in [1]
and suggest changes.

The variable mapping in the code may be confusing so I am stating it here:

qp     |  quadprog

A       |  Aeq (Equality constraint matrix input)
A_in  |  A_in (Inequality constraint matrix input)
Ain    |  A  (Inequality constraint matrix including bounds)
A_ub  | b_in (Vector of constants corresponding the input inequality
constraints)
bin     | b (Vector of constants including the bounds)

Changes that require your attention:

1- Copyright notice- I have retained the original notice. Should I include
the authors of qp.m as well?
2- Check for empty A_in and/or A_ub in qp.m- Currently not present in qp (it
throws an error-its probably ok for qp as these are the last input arguments
so apparently no need to pass empty arguments.)
3- Ordering of lambda:
    - The order of lambda vector output (qp_lambda) from __qp__(in my code)
is [equality constraints; inequality constraints; lower bounds; upper
bounds]. The multipliers are present if the constraints are given as inputs
so the size of qp_lambda depends on the size of constraints. Variables
idx_ineq, idx_lb and idx_ub make sure I pick the right values.

I have added several examples in runquadprog.m [2].

Kind Regards,
Asma.

[1] https://github.com/AsmaAfzal/octave_workspace/blob/master/quadprog.m
[2] https://github.com/AsmaAfzal/octave_workspace/blob/master/runquadprog.m




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