等式约束凸二次规划（拉格朗日乘子法）_python

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一、算法公式

示例：pandas 是基于NumPy 的一种工具，该工具是为了解决数据分析任务而创建的。

二、python程序

# 创作者：眰恦
# 地  点：桂林
# 时  间：2021/11/14  16:48

import math
import numpy as np
# 函数表达式
# fun = lambda x:x[1]^2+2*x[2]^2+x[3]^2-2*x[1]*x[2]+x[3]


def Quadratic_programming(H,A,b,c):
    IH = np.linalg.inv(H)
    AHA = np.dot(np.dot(A,IH),A.T)
    # print(AHA)
    IAHA = np.linalg.inv(AHA)
    AIH = np.dot(A,IH)
    G = IH-np.dot(np.dot(AIH.T,IAHA),AIH)
    B = np.dot(IAHA,AIH)
    C = -IAHA
    x = np.dot(B.T,b)-np.dot(G,c)
    lam = np.dot(B,c)-np.dot(C,b)
    # fun = 0.5*x.T*H*x+c.T*x

    return x,lam

H = np.array([[2,-2,0],[-2,4,0],[0,0,2]])
# print(H)
c = np.array([[0],[0],[1]])
# print(c)
A = np.array([[1,1,1],[2,-1,1]])
# print(A.T)
b = np.array([[4],[2]])
# print(b)

x,lam = Quadratic_programming(H,A,b,c)
print(x,lam)

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总结

x=[[1.90909091]
[1.95454545]
[0.13636364]]
lam= [[ 2.63636364]
[-1.36363636]]