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Diffstat (limited to 'macros/lsqlin.sci')
| -rw-r--r-- | macros/lsqlin.sci | 84 |
1 files changed, 39 insertions, 45 deletions
diff --git a/macros/lsqlin.sci b/macros/lsqlin.sci index fba036d..9460424 100644 --- a/macros/lsqlin.sci +++ b/macros/lsqlin.sci @@ -1,13 +1,13 @@ // Copyright (C) 2015 - IIT Bombay - FOSSEE // -// Author: Harpreet Singh -// Organization: FOSSEE, IIT Bombay -// Email: harpreet.mertia@gmail.com // This file must be used under the terms of the CeCILL. // This source file is licensed as described in the file COPYING, which // you should have received as part of this distribution. The terms // are also available at // http://www.cecill.info/licences/Licence_CeCILL_V2-en.txt +// Author: Harpreet Singh +// Organization: FOSSEE, IIT Bombay +// Email: toolbox@scilab.in function [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin (varargin) @@ -34,10 +34,10 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin (varargin) // param : a list containing the the parameters to be set. // xopt : a vector of double, the computed solution of the optimization problem. // resnorm : a double, objective value returned as the scalar value norm(C*x-d)^2. - // residual : a vector of double, solution residuals returned as the vector C*x-d. - // exitflag : Integer identifying the reason the algorithm terminated. It could be 0, 1 or 2 etc. i.e. Optimal, Maximum Number of Iterations Exceeded, CPU time exceeded. Other flags one can see in the lsqlin macro. + // residual : a vector of double, solution residuals returned as the vector d-C*x. + // exitflag : A flag showing returned exit flag from Ipopt. It could be 0, 1 or 2 etc. i.e. Optimal, Maximum Number of Iterations Exceeded, CPU time exceeded. Other flags one can see in the lsqlin macro. // output : Structure containing information about the optimization. This version only contains number of iterations. - // lambda : Structure containing the Lagrange multipliers at the solution x (separated by constraint type).It contains lower, upper bound multiplier and linear equality, inequality constraints. + // lambda : Structure containing the Lagrange multipliers at the solution x (separated by constraint type).It contains lower, upper bound multiplier and linear equality, inequality constraint multiplier. // // Description // Search the minimum of a constrained linear least square problem specified by : @@ -56,48 +56,42 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin (varargin) // // Examples // //A simple linear least square example - // C = [0.9501 0.7620 0.6153 0.4057 - // 0.2311 0.4564 0.7919 0.9354 - // 0.6068 0.0185 0.9218 0.9169 - // 0.4859 0.8214 0.7382 0.4102 - // 0.8912 0.4447 0.1762 0.8936]; - // d = [0.0578 - // 0.3528 - // 0.8131 - // 0.0098 - // 0.1388]; - // A = [0.2027 0.2721 0.7467 0.4659 - // 0.1987 0.1988 0.4450 0.4186 - // 0.6037 0.0152 0.9318 0.8462]; - // b = [0.5251 - // 0.2026 - // 0.6721]; + // C = [ 2 0; + // -1 1; + // 0 2] + // d = [1 + // 0 + // -1]; + // A = [10 -2; + // -2 10]; + // b = [4 + // -4]; // [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin(C,d,A,b) // // Press ENTER to continue // // Examples // //A basic example for equality, inequality constraints and variable bounds - // C = [0.9501 0.7620 0.6153 0.4057 - // 0.2311 0.4564 0.7919 0.9354 - // 0.6068 0.0185 0.9218 0.9169 - // 0.4859 0.8214 0.7382 0.4102 - // 0.8912 0.4447 0.1762 0.8936]; - // d = [0.0578 - // 0.3528 - // 0.8131 - // 0.0098 - // 0.1388]; - // A =[0.2027 0.2721 0.7467 0.4659 - // 0.1987 0.1988 0.4450 0.4186 - // 0.6037 0.0152 0.9318 0.8462]; - // b =[0.5251 - // 0.2026 - // 0.6721]; - // Aeq = [3 5 7 9]; - // beq = 4; - // lb = -0.1*ones(4,1); - // ub = 2*ones(4,1); - // [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin(C,d,A,b,Aeq,beq,lb,ub) + // C = [1 1 1; + // 1 1 0; + // 0 1 1; + // 1 0 0; + // 0 0 1] + // d = [89; + // 67; + // 53; + // 35; + // 20;] + // A = [3 2 1; + // 2 3 4; + // 1 2 3]; + // b = [191 + // 209 + // 162]; + // Aeq = [1 2 1]; + // beq = 10; + // lb = repmat(0.1,3,1); + // ub = repmat(4,3,1); + // [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin(C,d,A,b,Aeq,beq,lb,ub) // Authors // Harpreet Singh @@ -238,7 +232,7 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin (varargin) //Check the size of equality constraint which should be equal to the number of variables if ( size(Aeq,2) ~= nbVar & size(Aeq,2) ~= 0 ) then - errmsg = msprintf(gettext("%s: The number of columns in Aeq must be the same as the number of elements of d"), "lsqlin"); + errmsg = msprintf(gettext("%s: The number of columns in Aeq must be the same as the number of columns in C"), "lsqlin"); error(errmsg); end @@ -333,7 +327,7 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqlin (varargin) [xopt,fopt,status,iter,Zl,Zu,lmbda] = solveqp(nbVar,nbCon,H,f,conMatrix,conLB,conUB,lb,ub,x0,options); xopt = xopt'; - residual = -1*(C*xopt-d); + residual = d-C*xopt; resnorm = residual'*residual; exitflag = status; output = struct("Iterations" , []); |