cvxopt.solvers.qp()

cvxopt.solvers.qp()

 

 

 

 

 

- Purpose

 

2차 프로그램(quadratic program) 에 대한 인터페이스 제공

 

 

 

- Function

 

 

 

 

 

- Ex

 

 

 

1. reshape function to

 

(make matrix P , q)

 

 

 

 

 

 

2.  Inequality Constraint

 

(make matrix G, h)

 

 

 

 

 

 

3. Equality constraint 

 

(make matrix A, b)

 

 

4. python

 

import numpy from cvxopt 

 

import matrix 

 

P = matrix(numpy.diag([1,0]), tc=’d’) 

 

q = matrix(numpy.array([3,4]), tc=’d’) 

 

G = matrix(numpy.array([[-1,0],[0,-1],[-1,-3],[2,5],[3,4]]), tc=’d’) 

 

h = matrix(numpy.array([0,0,-15,100,80]), tc=’d’)

 

 

from cvxopt import solvers

 

 sol = solvers.qp(P,q,G,h)

 

 

 

* cvxopt는 별도의 행렬함수를 지원하므로 cvxopt.matrix 사용. (numpy matrix convert 가능)

* 부등호, 등호 제약조건 생략가능

* 참고

http://henryquant.blogspot.kr/

https://courses.csail.mit.edu/6.867/wiki/images/a/a7/Qp-cvxopt.pdf

http://cvxopt.org/userguide/coneprog.html?highlight=cvxopt%20solvers%20qp#cvxopt.solvers.qp

https://gist.github.com/mblondel/586753