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 Post subject: Cholesky VS BLEICPosted: Thu Jul 17, 2014 2:29 pm

Joined: Thu Jul 17, 2014 2:05 pm
Posts: 1
I am trying to solve this optimization problem with one of the two solvers mentioned above.
Problem:
f(x) = (.5)x'Hx + f'x
lowerBound <= x <= upperBound
Linear constraints(if they exist):
(Aineq)x <= (bineq)
(Aeq)x = (beq)
I am building my constraints matrix properly
A = [Aeq;Aineq] B = [beq;bineq]--> c = [A,B] ct is a vector with 0's representing the equality rows and -1's representing inequality constraints

H is a Hessian Matrix
f is the vector for linear terms
I know all sizes are correct, because I can run this in Matlab. I would like to get it to run in C#. Is this possible with AlgLib?

I have attached some example input
Thank you for any assistance.

 Attachments: File comment: x0 is the initial solution file. Scaling is already taken care of ExampleInput.zip [2.24 KiB] Downloaded 261 times
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