public QpReport Solve(IQpProblem problem)
{
double[] x;
alglib.minqpstate state;
alglib.minqpreport report;
var watch = new Stopwatch();
watch.Start();
// Convert constraints to ALGLIB format.
ConstraintsAdapter constraints = new ConstraintsAdapter(problem);
// Create the solver, set QP terms and linear constraints.
alglib.minqpcreate(problem.Q.GetLength(0), out state);
alglib.minqpsetquadraticterm(state, problem.Q);
alglib.minqpsetlinearterm(state, problem.C);
alglib.minqpsetlc(state, constraints.ConstraintMatrix, constraints.ConstraintTypes);
// Set the scale of the parameters and the algorithm choice.
alglib.minqpsetscale(state, constraints.ScaleFactors);
alglib.minqpsetalgobleic(state, 0.0, 0.0, 0.0, 0);
// Run the optimisation and report.
alglib.minqpoptimize(state);
alglib.minqpresults(state, out x, out report);
watch.Stop();
return(new QpReport(
x,
report.outeriterationscount,
GetSolveStatus(report.terminationtype),
watch.ElapsedMilliseconds));
}
public ConstraintsAdapter(IQpProblem problem)
{
this.problem = problem;
this.numVars = this.problem.Q.GetLength(0);
this.numConstraints = ComputeNumberOfConstraints();
this.constraintMatrix = BuildConstraintMatrix();
this.constraintVector = BuildConstraintVector();
this.scaleFactors = BuildScaleFactors();
}
