Class ADMMQPKKT

    • Method Detail

      • updateSigmaRho

        public void updateSigmaRho​(double newSigma,
                                   int me,
                                   double rho)
        Update steps
        Parameters:
        newSigma - new regularization term sigma for Karush–Kuhn–Tucker solver
        me - number of equality constraints
        rho - new step size
      • initialize

        public void initialize​(RealMatrix newH,
                               RealMatrix newA,
                               RealVector newQ,
                               int me,
                               RealVector newLb,
                               RealVector newUb,
                               double rho,
                               double newSigma,
                               double newAlpha)
        Initialize problem
        Parameters:
        newH - square matrix of weights for quadratic term
        newA - constraints coefficients matrix
        newQ - TBD
        me - number of equality constraints
        newLb - lower bound
        newUb - upper bound
        rho - step size
        newSigma - regularization term sigma for Karush–Kuhn–Tucker solver
        newAlpha - alpha filter for ADMM iteration