Class ADMMQPOptimizer
- java.lang.Object
-
- org.hipparchus.optim.BaseOptimizer<P>
-
- org.hipparchus.optim.BaseMultivariateOptimizer<LagrangeSolution>
-
- org.hipparchus.optim.nonlinear.vector.constrained.ConstraintOptimizer
-
- org.hipparchus.optim.nonlinear.vector.constrained.QPOptimizer
-
- org.hipparchus.optim.nonlinear.vector.constrained.ADMMQPOptimizer
-
public class ADMMQPOptimizer extends QPOptimizer
Alternating Direction Method of Multipliers Quadratic Programming Optimizer. \[ min \frac{1}{2} X^T Q X + G X a\\ A X = B_1\\ B X \ge B_2\\ l_b \le C X \le u_b \] Algorithm based on paper:"An Operator Splitting Solver for Quadratic Programs(Bartolomeo Stellato, Goran Banjac, Paul Goulart, Alberto Bemporad, Stephen Boyd,February 13 2020)"- Since:
- 3.1
-
-
Field Summary
-
Fields inherited from class org.hipparchus.optim.BaseOptimizer
evaluations, iterations
-
-
Constructor Summary
Constructors Constructor Description ADMMQPOptimizer()
Simple constructor.
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description LagrangeSolution
doOptimize()
Performs the bulk of the optimization algorithm.ConvergenceChecker<LagrangeSolution>
getConvergenceChecker()
Gets the convergence checker.boolean
isConverged()
Check if convergence has been reached.LagrangeSolution
optimize(OptimizationData... optData)
Stores data and performs the optimization.protected void
parseOptimizationData(OptimizationData... optData)
Scans the list of (required and optional) optimization data that characterize the problem.-
Methods inherited from class org.hipparchus.optim.BaseMultivariateOptimizer
getLowerBound, getStartPoint, getUpperBound
-
Methods inherited from class org.hipparchus.optim.BaseOptimizer
getEvaluations, getIterations, getMaxEvaluations, getMaxIterations, incrementEvaluationCount, incrementIterationCount, optimize
-
-
-
-
Constructor Detail
-
ADMMQPOptimizer
public ADMMQPOptimizer()
Simple constructor.This constructor sets all
options
to their default values
-
-
Method Detail
-
getConvergenceChecker
public ConvergenceChecker<LagrangeSolution> getConvergenceChecker()
Gets the convergence checker.- Overrides:
getConvergenceChecker
in classBaseOptimizer<LagrangeSolution>
- Returns:
- the object used to check for convergence.
-
optimize
public LagrangeSolution optimize(OptimizationData... optData)
Stores data and performs the optimization.The list of parameters is open-ended so that sub-classes can extend it with arguments specific to their concrete implementations.
When the method is called multiple times, instance data is overwritten only when actually present in the list of arguments: when not specified, data set in a previous call is retained (and thus is optional in subsequent calls).
Important note: Subclasses must override
BaseOptimizer.parseOptimizationData(OptimizationData[])
if they need to register their own options; but then, they must also callsuper.parseOptimizationData(optData)
within that method.- Overrides:
optimize
in classConstraintOptimizer
- Parameters:
optData
- Optimization data. In addition to those documented inBaseOptimizer
, this method will register the following data:- Returns:
- a point/value pair that satisfies the convergence criteria.
-
parseOptimizationData
protected void parseOptimizationData(OptimizationData... optData)
Scans the list of (required and optional) optimization data that characterize the problem.- Overrides:
parseOptimizationData
in classBaseMultivariateOptimizer<LagrangeSolution>
- Parameters:
optData
- Optimization data. The following data will be looked for:
-
doOptimize
public LagrangeSolution doOptimize()
Performs the bulk of the optimization algorithm.- Overrides:
doOptimize
in classQPOptimizer
- Returns:
- the point/value pair giving the optimal value of the objective function.
-
isConverged
public boolean isConverged()
Check if convergence has been reached.- Returns:
- true if convergence has been reached
-
-