文件名称：SQP Algorithm C++ code in VS2005 IDE
文件大小：273KB
文件格式：RAR
更新时间：2012-12-20 04:12:07
SQP Numerical Optimization QP Sequential
The Sequential Quadratic Programming (SQP) Algorithm Given a solution estimate xk, and a small step d, an arbitrary numerical optimization problem can be approximated as follow: f(xk+d)=f(xk)+[▽f(xk)] T*d + 1/2*(dT)[▽2f(xk)]*d+.... h(xk+d)=h(xk)+[▽h(xk)]T*d + 1/2*(dT)[▽2h(xk)]*d+.... = 0 g(xk+d)=g(xk)+[▽g(xk)]T*d + 1/2*(dT)[▽2g(xk)]*d+.... >= 0 where x=[x1,x2,…xk]T, d=[d1,d2,…dk]T Form the linearly-constrained/quadratic minimization problem: Minimize: f(xk)+[▽f(xk)]T*d + 1/2*(dT)[▽2f(xk)]*d Subject to: h(xk)+[▽h(xk)]T*d = 0; g(xk)+[▽g(xk)]T*d >=0; In the SQP loop, the approximate QP should be a convex Quadratic Programming, in which the matrix Q = ▽2f(xk) should be positive semidefinite, Q ≥ 0. Actually, the Q is the Hessian matrix of the function f(x) at the point xk.
【文件预览】：
SQP
----Array.h(60KB)
----problem.h(890B)
----QuadProg.h(3KB)
----problem.cpp(2KB)
----release()
--------SQP.exe(188KB)
----Array.cpp(1KB)
----SQP.jpg(1.04MB)
----SQP.suo(39KB)
----SQP IOWA.pdf(276KB)
----main.cpp(3KB)
----QuadProg.cpp(21KB)