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sqp_c's Introduction

基于C语言的SQP算法库

目录

SQP_c
├─include // 项目的包含文件
├─other   // 开发过程中的参考资料/参考代码等
├─src     // 源码树
|  ├─log      //有关日志的代码
│  ├─function //有关函数的代码 [自动梯度][自动Hession矩阵计算]
│  ├─linarg   //线性代数代码   [矩阵][线性方程组]
│  ├─optimize //有关优化的代码 [二次优化][SQP]
│  └─util     //工具          [error]
└─test        //测试文件

项目正在开发中,整个项目由Cmake以及Ctest组织和构建.

quick start

git clone https://github.com/he20010515/SQP_c.git
cd ./SQP_c
mkdir build
cd build
cmkae ..
cmake --build ,
ctest

TODOlist:

  1. 基础数据结构
    1. 矩阵
    2. 函数
  2. 线性方程组求解 done // 可能需要优化某些SOR方法不收敛的情况
    1. 直接法 高斯消元法
    2. 迭代法 SOR
    3. 迭代法
  3. 数值微分
    1. 中心梯度 done
    2. 中心Hession矩阵 done
  4. 线性规划
    1. 两阶段单纯形法 done
    2. 初始解算法 done
  5. 二次规划
    1. 二次线性约束优化问题 done
    2. 二次不等式约束优化问题 ← done
    3. 二次混合约束优化问题 ← done
  6. SQP ← HERE
    1. 分解为子问题 done
    2. 求解子问题 done
    3. BFGS update done
    4. 验证结果,写测试

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