What Quadratic Programming Package?
 

Hello everyone,

what quadratic programming package will you be using for HW#7?

I looked it up a bit online and found a few, but I am curious to hear from the class.
My programming language of choice is Matlab/Octave (I know Python and C++ too but I am more comfortable with Matlab/Octave), for which I found http://www.mat.univie.ac.at/~neum/software/minq/ ... but I am a bit reticent to use a package I've never tried before.

Thanks!

Re: What Quadratic Programming Package?
 

I am using python and it seems that cvxopt is the commonly used free library.

Re: What Quadratic Programming Package?
 

that's the one i used as well

Re: What Quadratic Programming Package?
 

Is there one such lib that can work on Windows?
Thanks

Re: What Quadratic Programming Package?
 

In this thread, I describe one alternative for Mathematica users, and the ups and downs of that approach.

Re: What Quadratic Programming Package?
 

Thanks for the input ... I found the CVX library for Matlab and I will (try to) use that.
@Marcello I don't think any of those libraries are system specific, i.e., they can be used on a Mac as well as on Windows, or Linux, or BSD, or ...

Re: What Quadratic Programming Package?
 

I also used Python with cvxopt. It seemed to work fine.

Re: What Quadratic Programming Package?
 

Found Win64 installer here: http://www.lfd.uci.edu/~gohlke/pythonlibs/
(great Python resource)

Whitout the installer, it's a nightmare :S

Re: What Quadratic Programming Package?
 

Anybody tried this in R? The solve.QP function in the quadprog library sounds very promising, but it complains about the first matrix not being positive definite (unless I set factorized=T, which doesn't sound right -- Dmat here is the same as what's called Q on the lecture slide, correct?).



solve.QP package:quadprog R Documentation

Solve a Quadratic Programming Problem

Description:

This routine implements the dual method of Goldfarb and Idnani
(1982, 1983) for solving quadratic programming problems of the
form min(-d^T b + 1/2 b^T D b) with the constraints A^T b >= b_0.

Usage:

solve.QP(Dmat, dvec, Amat, bvec, meq=0, factorized=FALSE)

Arguments:

Dmat: matrix appearing in the quadratic function to be minimized.

dvec: vector appearing in the quadratic function to be minimized.

Amat: matrix defining the constraints under which we want to
minimize the quadratic function.

bvec: vector holding the values of b_0 (defaults to zero).

meq: the first ‘meq’ constraints are treated as equality
constraints, all further as inequality constraints (defaults
to 0).

factorized: logical flag: if ‘TRUE’, then we are passing R^(-1) (where
D = R^T R) instead of the matrix D in the argument ‘Dmat’.

Re: What Quadratic Programming Package?
 

I had the same problem with solve.QP.

Try ipop (kernlab package) and it will work.