python 二次规划_Python中使用Numpy的二次规划？

注意，矩阵H和{}在CSC format中应该是稀疏的。这是剧本import numpy as np

import scipy.sparse as spa

import osqp

def quadprog(P, q, G=None, h=None, A=None, b=None,

initvals=None, verbose=True):

l = -np.inf * np.ones(len(h))

if A is not None:

qp_A = spa.vstack([G, A]).tocsc()

qp_l = np.hstack([l, b])

qp_u = np.hstack([h, b])

else: # no equality constraint

qp_A = G

qp_l = l

qp_u = h

model = osqp.OSQP()

model.setup(P=P, q=q,

A=qp_A, l=qp_l, u=qp_u, verbose=verbose)

if initvals is not None:

model.warm_start(x=initvals)

results = model.solve()

return results.x, results.info.status

# Generate problem data

n = 2 # Variables

H = spa.csc_matrix([[4, 1], [1, 2]])

f = np.array([1, 1])

G = spa.csc_matrix([[1, 0], [0, 1]])

h = np.array([0.7, 0.7])

A = spa.csc_matrix([[1, 1]])

b = np.array([1.])

# Initial point

q0 = np.ones(n)

x, status = quadprog(H, f, G, h, A, b, initvals=q0, verbose=True)