eiquadprog: include/eiquadprog/eiquadprog.hpp Source File

eiquadprog 1.3.2 C++ reimplementation of eiquadprog

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eiquadprog.hpp
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1//
2// Copyright (c) 2019,2022 CNRS INRIA
3//
4// This file is part of eiquadprog.
5//
6// eiquadprog is free software: you can redistribute it and/or modify
7// it under the terms of the GNU Lesser General Public License as published by
8// the Free Software Foundation, either version 3 of the License, or
9//(at your option) any later version.
10
11// eiquadprog is distributed in the hope that it will be useful,
12// but WITHOUT ANY WARRANTY; without even the implied warranty of
13// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
14// GNU Lesser General Public License for more details.
15
16// You should have received a copy of the GNU Lesser General Public License
17// along with eiquadprog. If not, see <https://www.gnu.org/licenses/>.
18
19#ifndef _EIGEN_QUADSOLVE_HPP_
20#define _EIGEN_QUADSOLVE_HPP_
21
22/*
23 FILE eiquadprog.hpp
24 NOTE: this is a modified of uQuadProg++ package, working with Eigen data
25 structures. uQuadProg++ is itself a port made by Angelo Furfaro of QuadProg++
26 originally developed by Luca Di Gaspero, working with ublas data structures.
27 The quadprog_solve() function implements the algorithm of Goldfarb and Idnani
28 for the solution of a (convex) Quadratic Programming problem
29 by means of a dual method.
30 The problem is in the form:
31 min 0.5 * x G x + g0 x
32 s.t.
33 CE^T x + ce0 = 0
34 CI^T x + ci0 >= 0
35 The matrix and vectors dimensions are as follows:
36 G: n * n
37 g0: n
38 CE: n * p
39 ce0: p
40 CI: n * m
41 ci0: m
42 x: n
43 The function will return the cost of the solution written in the x vector or
44 std::numeric_limits::infinity() if the problem is infeasible. In the latter
45 case the value of the x vector is not correct. References: D. Goldfarb, A.
46 Idnani. A numerically stable dual method for solving strictly convex quadratic
47 programs. Mathematical Programming 27 (1983) pp. 1-33. Notes:
48 1. pay attention in setting up the vectors ce0 and ci0.
49 If the constraints of your problem are specified in the form
50 A^T x = b and C^T x >= d, then you should set ce0 = -b and ci0 = -d.
51 2. The matrix G is modified within the function since it is used to compute
52 the G = L^T L cholesky factorization for further computations inside the
53 function. If you need the original matrix G you should make a copy of it and
54 pass the copy to the function. The author will be grateful if the researchers
55 using this software will acknowledge the contribution of this modified function
56 and of Di Gaspero's original version in their research papers. LICENSE
57 Copyright (2011) Benjamin Stephens
58 Copyright (2010) Gael Guennebaud
59 Copyright (2008) Angelo Furfaro
60 Copyright (2006) Luca Di Gaspero
61 This file is a porting of QuadProg++ routine, originally developed
62 by Luca Di Gaspero, exploiting uBlas data structures for vectors and
63 matrices instead of native C++ array.
64 uquadprog is free software; you can redistribute it and/or modify
65 it under the terms of the GNU General Public License as published by
66 the Free Software Foundation; either version 2 of the License, or
67 (at your option) any later version.
68 uquadprog is distributed in the hope that it will be useful,
69 but WITHOUT ANY WARRANTY; without even the implied warranty of
70 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
71 GNU General Public License for more details.
72 You should have received a copy of the GNU General Public License
73 along with uquadprog; if not, write to the Free Software
74 Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA
75 */
76
77#include <Eigen/Cholesky>
78#include <Eigen/Core>
79
80#include "eiquadprog/config.hpp"
81#include "eiquadprog/deprecated.hpp"
82#include "eiquadprog/eiquadprog-utils.hxx"
83
84// namespace internal {
85namespace eiquadprog {
86namespace solvers {
87
88 inline void compute_d(Eigen::VectorXd& d, const Eigen::MatrixXd& J,
89 const Eigen::VectorXd& np) {
90 d.noalias() = J.adjoint() * np;
91}
92
93 inline void update_z(Eigen::VectorXd& z, const Eigen::MatrixXd& J,
94 const Eigen::VectorXd& d, size_t iq) {
95 z.noalias() = J.rightCols(z.size() - iq) * d.tail(d.size() - iq);
96}
97
98 inline void update_r(const Eigen::MatrixXd& R, Eigen::VectorXd& r,
99 const Eigen::VectorXd& d, size_t iq) {
100 r.head(iq) = d.head(iq);
101 R.topLeftCorner(iq, iq).triangularView<Eigen::Upper>().solveInPlace(
102 r.head(iq));
103}
104
105 bool add_constraint(Eigen::MatrixXd& R, Eigen::MatrixXd& J, Eigen::VectorXd& d,
106 size_t& iq, double& R_norm);
107 void delete_constraint(Eigen::MatrixXd& R, Eigen::MatrixXd& J,
108 Eigen::VectorXi& A, Eigen::VectorXd& u, size_t p,
109 size_t& iq, size_t l);
110
111 EIQUADPROG_DLLAPI double solve_quadprog(
112 Eigen::LLT<Eigen::MatrixXd, Eigen::Lower>& chol, double c1,
113 Eigen::VectorXd& g0, const Eigen::MatrixXd& CE, const Eigen::VectorXd& ce0,
114 const Eigen::MatrixXd& CI, const Eigen::VectorXd& ci0, Eigen::VectorXd& x,
115 Eigen::VectorXi& A, size_t& q);
116
117 EIQUADPROG_DLLAPI double solve_quadprog(
118 Eigen::LLT<Eigen::MatrixXd, Eigen::Lower>& chol, double c1,
119 Eigen::VectorXd& g0, const Eigen::MatrixXd& CE, const Eigen::VectorXd& ce0,
120 const Eigen::MatrixXd& CI, const Eigen::VectorXd& ci0, Eigen::VectorXd& x,
121 Eigen::VectorXd& y, Eigen::VectorXi& A, size_t& q);
122
123 EIQUADPROG_DEPRECATED
124 inline double solve_quadprog2(Eigen::LLT<Eigen::MatrixXd, Eigen::Lower>& chol,
125 double c1, Eigen::VectorXd& g0,
126 const Eigen::MatrixXd& CE,
127 const Eigen::VectorXd& ce0,
128 const Eigen::MatrixXd& CI,
129 const Eigen::VectorXd& ci0, Eigen::VectorXd& x,
130 Eigen::VectorXi& A, size_t& q) {
131 return solve_quadprog(chol, c1, g0, CE, ce0, CI, ci0, x, A, q);
132}
133
134/* solve_quadprog is used for on-demand QP solving */
135 EIQUADPROG_DLLAPI double solve_quadprog(
136 Eigen::MatrixXd& G, Eigen::VectorXd& g0, const Eigen::MatrixXd& CE,
137 const Eigen::VectorXd& ce0, const Eigen::MatrixXd& CI,
138 const Eigen::VectorXd& ci0, Eigen::VectorXd& x, Eigen::VectorXi& activeSet,
139 size_t& activeSetSize);
140
141 EIQUADPROG_DLLAPI double solve_quadprog(
142 Eigen::MatrixXd& G, Eigen::VectorXd& g0, const Eigen::MatrixXd& CE,
143 const Eigen::VectorXd& ce0, const Eigen::MatrixXd& CI,
144 const Eigen::VectorXd& ci0, Eigen::VectorXd& x, Eigen::VectorXd& y,
145 Eigen::VectorXi& activeSet, size_t& activeSetSize);
146// }
147
148} // namespace solvers
149} // namespace eiquadprog
150
151#endif
config.hpp
EIQUADPROG_DLLAPI
#define EIQUADPROG_DLLAPI
Definition config.hpp:88
deprecated.hpp
EIQUADPROG_DEPRECATED
#define EIQUADPROG_DEPRECATED
Definition deprecated.hpp:37
eiquadprog-utils.hxx
eiquadprog::solvers::solve_quadprog2
EIQUADPROG_DEPRECATED double solve_quadprog2(Eigen::LLT< Eigen::MatrixXd, Eigen::Lower > &chol, double c1, Eigen::VectorXd &g0, const Eigen::MatrixXd &CE, const Eigen::VectorXd &ce0, const Eigen::MatrixXd &CI, const Eigen::VectorXd &ci0, Eigen::VectorXd &x, Eigen::VectorXi &A, size_t &q)
Definition eiquadprog.hpp:124
eiquadprog::solvers::update_z
void update_z(Eigen::VectorXd &z, const Eigen::MatrixXd &J, const Eigen::VectorXd &d, size_t iq)
Definition eiquadprog.hpp:93
eiquadprog::solvers::solve_quadprog
EIQUADPROG_DLLAPI double solve_quadprog(Eigen::LLT< Eigen::MatrixXd, Eigen::Lower > &chol, double c1, Eigen::VectorXd &g0, const Eigen::MatrixXd &CE, const Eigen::VectorXd &ce0, const Eigen::MatrixXd &CI, const Eigen::VectorXd &ci0, Eigen::VectorXd &x, Eigen::VectorXi &A, size_t &q)
eiquadprog::solvers::add_constraint
bool add_constraint(Eigen::MatrixXd &R, Eigen::MatrixXd &J, Eigen::VectorXd &d, size_t &iq, double &R_norm)
eiquadprog::solvers::compute_d
void compute_d(Eigen::VectorXd &d, const Eigen::MatrixXd &J, const Eigen::VectorXd &np)
Definition eiquadprog.hpp:88
eiquadprog::solvers::delete_constraint
void delete_constraint(Eigen::MatrixXd &R, Eigen::MatrixXd &J, Eigen::VectorXi &A, Eigen::VectorXd &u, size_t p, size_t &iq, size_t l)
eiquadprog::solvers::update_r
void update_r(const Eigen::MatrixXd &R, Eigen::VectorXd &r, const Eigen::VectorXd &d, size_t iq)
Definition eiquadprog.hpp:98
eiquadprog
Definition eiquadprog-fast.hpp:64