数值计算·第七集：二次规划（CVXPY版）

最新推荐文章于 2024-07-05 08:09:43 发布

Seung-Yim Yau

最新推荐文章于 2024-07-05 08:09:43 发布

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分类专栏：数值优化（本科版）文章标签： quadratic QP问题 cvxpy Python

本文链接：https://blog.csdn.net/Miracle0_0/article/details/100062269

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Quadratic program（二次规划）

标准形式：-A quadratic program is an optimization problem with a quadratic objective and affine equality and inequality constraints.

import numpy as np
import cvxpy as cp

#problem data
m,n = 15,10
p = 5

np.random.seed(1)
P = np.random.randn(n,n)

P = P.T@P
q = np.random.randn(n)
G = np.random.randn(m,n)
h = G@np.random.randn(n)
A = np.random.randn(p,n)
b = np.random.randn(p)
#@:n*n matrix

#problem variable
x = cp.Variable(n)

#constraints
constraints = [G@x<=h, A@x==b]

#objective
objective = cp.Minimize(0.5*cp.quad_form(x,P)+q.T@x)#x.T@A@x

#construct the problem 
prob = cp.Problem(objective,constraints)

#sovle
prob.solve(solver = cp.OSQP,verbose = True)

#expression
print('x = %s'%x.value)
print('Min-value:%s'%prob.value)