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libqp.h
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1 /*-----------------------------------------------------------------------
2  * libqp.h: Library for Quadratic Programming optimization.
3  *
4  * The library provides two solvers:
5  * 1. Solver for QP task with simplex constraints.
6  * See function ./lib/libqp_splx.c for definition of the QP task.
7  *
8  * 2. Solver for QP task with box constraints and a single linear
9  * equality constraint.
10  * See function ./lib/libqp_gsmo.c for definiton of the QP task.
11  *
12  * Copyright (C) 2006-2008 Vojtech Franc, xfrancv@cmp.felk.cvut.cz
13  * Center for Machine Perception, CTU FEL Prague
14  *
15  * This program is free software; you can redistribute it and/or
16  * modify it under the terms of the GNU General Public
17  * License as published by the Free Software Foundation;
18  * Version 3, 29 June 2007
19  *-------------------------------------------------------------------- */
20 
21 #ifndef libqp_h
22 #define libqp_h
23 
24 #include <math.h>
25 
26 #include <shogun/lib/common.h>
27 namespace shogun
28 {
29 #define LIBQP_PLUS_INF (-log(0.0))
30 #define LIBQP_CALLOC(x,y) calloc(x,y)
31 #define LIBQP_FREE(x) SG_FREE(x)
32 #define LIBQP_INDEX(ROW,COL,NUM_ROWS) ((COL)*(NUM_ROWS)+(ROW))
33 #define LIBQP_MIN(A,B) ((A) > (B) ? (B) : (A))
34 #define LIBQP_MAX(A,B) ((A) < (B) ? (B) : (A))
35 #define LIBQP_ABS(A) ((A) < 0 ? -(A) : (A))
36 
37 #ifndef DOXYGEN_SHOULD_SKIP_THIS
38 
39 typedef struct {
41  uint32_t nIter;
43  float64_t QP;
45  float64_t QD;
47  int8_t exitflag; /* -1 ... not enough memory
48  0 ... nIter >= MaxIter
49  1 ... QP - QD <= TolRel*ABS(QP)
50  2 ... QP - QD <= TolAbs
51  3 ... QP <= QP_TH
52  4 ... eps-KKT conditions satisfied */
53 } libqp_state_T;
54 #endif
55 
57 libqp_state_T libqp_splx_solver(const float64_t* (*get_col)(uint32_t),
58  float64_t *diag_H,
59  float64_t *f,
60  float64_t *b,
61  uint32_t *I,
62  uint8_t *S,
63  float64_t *x,
64  uint32_t n,
65  uint32_t MaxIter,
66  float64_t TolAbs,
67  float64_t TolRel,
68  float64_t QP_TH,
69  void (*print_state)(libqp_state_T state));
70 
72 libqp_state_T libqp_gsmo_solver(const float64_t* (*get_col)(uint32_t),
73  float64_t *diag_H,
74  float64_t *f,
75  float64_t *a,
76  float64_t b,
77  float64_t *LB,
78  float64_t *UB,
79  float64_t *x,
80  uint32_t n,
81  uint32_t MaxIter,
82  float64_t TolKKT,
83  void (*print_state)(libqp_state_T state));
84 
85 }
86 #endif /* libqp_h */
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