o

scalation.minima

AugLagrangian

object AugLagrangian

The AugLagrangian class implements the Augmented Lagrangian Method for solving equality constrained optimization problems. Minimize objective function 'f' subject to constraint 'h' to find an optimal solution for 'x'.

min f(x) s.t. h(x) = 0

f = objective function h = equality contraint x = solution vector

Note: the hyper-parameters 'eta' and 'p0' will need to be tuned per problem.

See also

AugLagrangianTest for how to set up 'f', 'h' and 'grad' functions

Linear Supertypes
AnyRef, Any
Ordering
  1. Alphabetic
  2. By Inheritance
Inherited
  1. AugLagrangian
  2. AnyRef
  3. Any
  1. Hide All
  2. Show All
Visibility
  1. Public
  2. Protected

Type Members

  1. type Gradient = (VectoD, Double, Double) => VectoD

Value Members

  1. final def !=(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  2. final def ##: Int
    Definition Classes
    AnyRef → Any
  3. final def ==(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  4. final def asInstanceOf[T0]: T0
    Definition Classes
    Any
  5. def clone(): AnyRef
    Attributes
    protected[lang]
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.CloneNotSupportedException]) @native() @HotSpotIntrinsicCandidate()
  6. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  7. def equals(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef → Any
  8. final def getClass(): Class[_ <: AnyRef]
    Definition Classes
    AnyRef → Any
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  9. def hashCode(): Int
    Definition Classes
    AnyRef → Any
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  10. final def isInstanceOf[T0]: Boolean
    Definition Classes
    Any
  11. final def ne(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  12. final def notify(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  13. final def notifyAll(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  14. def solve(x: VectoD, f: FunctionV_2S, h: FunctionV_2S, grad: Gradient): (VectoD, MatriD)

    Solve for an optimal solution to the equality constrained optimization problem.

    Solve for an optimal solution to the equality constrained optimization problem.

    x

    initial guess for solution vector

    f

    the objective function to be minimized

    h

    the equality constraint

    grad

    the gradient of Lagranian (must be specified by caller)

  15. final def synchronized[T0](arg0: => T0): T0
    Definition Classes
    AnyRef
  16. def toString(): String
    Definition Classes
    AnyRef → Any
  17. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.InterruptedException])
  18. final def wait(arg0: Long): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.InterruptedException]) @native()
  19. final def wait(): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.InterruptedException])

Deprecated Value Members

  1. def finalize(): Unit
    Attributes
    protected[lang]
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.Throwable]) @Deprecated
    Deprecated

Inherited from AnyRef

Inherited from Any

Ungrouped