R: Solve a Quadratic Programming Problem

solve.QP {quadprog}

R Documentation

Solve a Quadratic Programming Problem

Description

This routine implements the dual method of Goldfarb and Idnani (1982, 1983) for solving quadratic programming problems of the form min(-d^T b + 1/2 b^T D b) with the constraints A^T b >= b_0.

Usage

solve.QP(Dmat, dvec, Amat, bvec, meq=0, factorized=FALSE)

Arguments

`Dmat`	matrix appearing in the quadratic function to be minimized.
`dvec`	vector appearing in the quadratic function to be minimized.
`Amat`	matrix defining the constraints under which we want to minimize the quadratic function.
`bvec`	vector holding the values of b_0 (defaults to zero).
`meq`	the first `meq` constraints are treated as equality constraints, all further as inequality constraints (defaults to 0).
`factorized`	logical flag: if `TRUE`, then we are passing R^(-1) (where D = R^T R) instead of the matrix D in the argument `Dmat`.

Value

a list with the following components:

`solution`	vector containing the solution of the quadratic programming problem.
`value`	scalar, the value of the quadratic function at the solution
`unconstrained.solution`	vector containing the unconstrained minimizer of the quadratic function.
`iterations`	vector of length 2, the first component contains the number of iterations the algorithm needed, the second indicates how often constraints became inactive after becoming active first.
`Lagrangian`	vector with the Lagragian at the solution.
`iact`	vector with the indices of the active constraints at the solution.

References

D. Goldfarb and A. Idnani (1982). Dual and Primal-Dual Methods for Solving Strictly Convex Quadratic Programs. In J. P. Hennart (ed.), Numerical Analysis, Springer-Verlag, Berlin, pages 226–239.

D. Goldfarb and A. Idnani (1983). A numerically stable dual method for solving strictly convex quadratic programs. Mathematical Programming, 27, 1–33.

Examples

##
## Assume we want to minimize: -(0 5 0) %*% b + 1/2 b^T b
## under the constraints:      A^T b >= b0
## with b0 = (-8,2,0)^T
## and      (-4  2  0) 
##      A = (-3  1 -2)
##          ( 0  0  1)
## we can use solve.QP as follows:
##
Dmat       <- matrix(0,3,3)
diag(Dmat) <- 1
dvec       <- c(0,5,0)
Amat       <- matrix(c(-4,-3,0,2,1,0,0,-2,1),3,3)
bvec       <- c(-8,2,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec)

[Package quadprog version 1.5-4 Index]