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Diffstat (limited to 'macros/lsqnonneg.sci')
| -rw-r--r-- | macros/lsqnonneg.sci | 47 |
1 files changed, 38 insertions, 9 deletions
diff --git a/macros/lsqnonneg.sci b/macros/lsqnonneg.sci index 80ec92a..d95ee86 100644 --- a/macros/lsqnonneg.sci +++ b/macros/lsqnonneg.sci @@ -24,9 +24,9 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqnonneg (varargin) // 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 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 xopt. It contains lower, upper bound multiplier and linear equality, inequality constraint multiplier. + // exitflag : The exit status. See below for details. + // output : The structure consist of statistics about the optimization. See below for details. + // lambda : The structure consist of the Lagrange multipliers at the solution of problem. See below for details. // // Description // Solves nonnegative least-squares curve fitting problems specified by : @@ -40,6 +40,33 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqnonneg (varargin) // </latex> // // The routine calls Ipopt for solving the nonnegative least-squares curve fitting problems, Ipopt is a library written in C++. + // + // The exitflag allows to know the status of the optimization which is given back by Ipopt. + // <itemizedlist> + // <listitem>exitflag=0 : Optimal Solution Found </listitem> + // <listitem>exitflag=1 : Maximum Number of Iterations Exceeded. Output may not be optimal.</listitem> + // <listitem>exitflag=2 : Maximum CPU Time exceeded. Output may not be optimal.</listitem> + // <listitem>exitflag=3 : Stop at Tiny Step.</listitem> + // <listitem>exitflag=4 : Solved To Acceptable Level.</listitem> + // <listitem>exitflag=5 : Converged to a point of local infeasibility.</listitem> + // </itemizedlist> + // + // For more details on exitflag see the ipopt documentation, go to http://www.coin-or.org/Ipopt/documentation/ + // + // The output data structure contains detailed informations about the optimization process. + // It has type "struct" and contains the following fields. + // <itemizedlist> + // <listitem>output.iterations: The number of iterations performed during the search</listitem> + // <listitem>output.constrviolation: The max-norm of the constraint violation.</listitem> + // </itemizedlist> + // + // The lambda data structure contains the Lagrange multipliers at the end + // of optimization. In the current version the values are returned only when the the solution is optimal. + // It has type "struct" and contains the following fields. + // <itemizedlist> + // <listitem>lambda.lower: The Lagrange multipliers for the lower bound constraints.</listitem> + // <listitem>lambda.upper: The Lagrange multipliers for the upper bound constraints.</listitem> + // </itemizedlist> // // Examples // // A basic lsqnonneg problem @@ -136,13 +163,15 @@ function [xopt,resnorm,residual,exitflag,output,lambda] = lsqnonneg (varargin) residual = -1*(C*xopt-d); resnorm = residual'*residual; exitflag = status; - output = struct("Iterations" , []); + output = struct("Iterations" , [], .. + "ConstrViolation" ,[]); output.Iterations = iter; - lambda = struct("lower" , [], .. - "upper" , []); - - lambda.lower = Zl; - lambda.upper = Zu; + output.ConstrViolation = max([0;(lb'-xopt);(xopt-ub')]); + + lambda = struct("lower" , [], .. + "upper" , []); + lambda.lower = Zl; + lambda.upper = Zu; select status case 0 then |