com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.interiorpoint

Class PrimalDualInteriorPoint

java.lang.Object

com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.interiorpoint.PrimalDualInteriorPoint

All Implemented Interfaces:

ConstrainedMinimizer<SOCPDualProblem,IterativeMinimizer<PrimalDualSolution>>, Minimizer<SOCPDualProblem,IterativeMinimizer<PrimalDualSolution>>, Optimizer<SOCPDualProblem,IterativeMinimizer<PrimalDualSolution>>, java.io.Serializable

public class PrimalDualInteriorPoint
extends java.lang.Object
implements ConstrainedMinimizer<SOCPDualProblem,IterativeMinimizer<PrimalDualSolution>>

This implementation solves a Dual Second Order Conic Programming problem using the Primal Dual Interior Point algorithm.

See Also:

• "Andreas Antoniou, Wu-Sheng Lu, "Algorithm 14.5, Section 14.8.2, A primal-dual interior-point algorithm," Practical Optimization: Algorithms and Engineering Applications."
• "K. C. Toh, M. J. Todd, R. H. Tütüncü, "SDPT3 -- a MATLAB software package for semidefinite programming, version 3.0," OPTIMIZATION METHODS AND SOFTWARE, 2001."

, Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
class	PrimalDualInteriorPoint.Solution This is the solution to a Dual Second Order Conic Programming problem using the Primal Dual Interior Point algorithm.

Constructor Summary

Constructors

Constructor and Description
PrimalDualInteriorPoint(double sigma, double epsilon, int maxIterations) Construct a Primal Dual Interior Point minimizer to solve Dual Second Order Conic Programming problems.
PrimalDualInteriorPoint(double epsilon, int maxIterations) Construct a Primal Dual Interior Point minimizer to solve Dual Second Order Conic Programming problems.

Method Summary

Modifier and Type	Method and Description
PrimalDualInteriorPoint.Solution	solve(SOCPDualProblem problem) Solve an optimization problem, e.g., OptimProblem.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PrimalDualInteriorPoint

public PrimalDualInteriorPoint(double sigma,
                               double epsilon,
                               int maxIterations)

Construct a Primal Dual Interior Point minimizer to solve Dual Second Order Conic Programming problems.

Parameters:

sigma - \(0 \leq \sigma < 1\), the centering parameter

epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0

maxIterations - the maximum number of iterations

PrimalDualInteriorPoint

public PrimalDualInteriorPoint(double epsilon,
                               int maxIterations)

Construct a Primal Dual Interior Point minimizer to solve Dual Second Order Conic Programming problems.

Parameters:

epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0

maxIterations - the maximum number of iterations

Method Detail

solve

public PrimalDualInteriorPoint.Solution solve(SOCPDualProblem problem)
                                       throws java.lang.Exception

Description copied from interface: Optimizer

Solve an optimization problem, e.g., OptimProblem.

Specified by:

solve in interface Optimizer<SOCPDualProblem,IterativeMinimizer<PrimalDualSolution>>

Parameters:

problem - an optimization problem

Returns:

a solution to the optimization problem

Throws:

java.lang.Exception - when there is an error solving the problem