QuadProg Solver

Simple Quadratic programming solver. Many thanks to Felipeasg that found and started this interface.

The solver credit goes to a Cran R package.

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 :

    call quadprog(n,q,qeq,H,f,Aeq,beq,lb,ub, x,tol,res,err)

or

    call quadprog(n,q,qeq,H,f,Aeq,beq, x,tol,res,err)

C callings :

    quadprog(n,q,qeq,H,f,Aeq,beq,lb,ub, x,tol,res,err)

or

    quadprog(n,q,qeq,H,f,Aeq,beq,NULL,NULL, x,tol,res,err)