最优化拉格朗日方法

拉格朗日方法
自练习呃呃
等式约束凸二次规划问题求解

import math
import numpy as np
from numpy.linalg import inv
def qlag(H, a, b, c):
    ih = inv(H)
    aha = a*ih*a.H
    iaha = inv(aha)
    aih = a*ih
    g = ih - aih.H*iaha*aih
    B = iaha*aih
    C = -iaha
    x = B.H*b-g*c
    lam = B*c-C*b
    fval = 0.5*x.H*H*x+c.H*x
    print(fval)
    print(lam)
    print(x)
    print(B)
    print(C)

if __name__ == '__main__':
    # 2X1^2+X2^2+X1X2-X1-X2
    # ST X1+X2=1
    H = np.matrix(([[4, 1],[1, 2]]))
    c = np.matrix(([-1, -1])).H
    A = np.matrix(([1, 1]))
    b = np.matrix(([1])).H
    qlag(H,A,b,c)