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Re: QP solves for zero instead of min?
From: |
Olaf Till |
Subject: |
Re: QP solves for zero instead of min? |
Date: |
Sun, 3 Aug 2014 17:20:14 +0200 |
User-agent: |
Mutt/1.5.21 (2010-09-15) |
On Sun, Aug 03, 2014 at 04:42:46PM +0200, Juan Pablo Carbajal wrote:
> On Sun, Aug 3, 2014 at 12:24 PM, Olaf Till <address@hidden> wrote:
> > On Sat, Aug 02, 2014 at 07:38:20PM +0200, Juan Pablo Carbajal wrote:
> >> Hi,
> >>
> >> It seems that when QP receives linear equality constrains it goes for
> >> the zero of the cost function instead of a minimum.
> >> Might somebody find my mistake? Here is my test problem
> >>
> >> x = randn (2,5);
> >> H = x.'*x; #Cov matrix to make sure is a good one.
> >
> > H has no full rank, the result is not determined. Try x = randn (5);.
> >
> > Olaf
> >
> > --
> > public key id EAFE0591, e.g. on x-hkp://pool.sks-keyservers.net
>
> That's not the issue, it was just an example. If rank deficient
> matrices are a problem for the algorithm then at least QP should emit
> a warning or ti should be commented on the docstring. Do not you
> think?
>
> What is the source of this limitation for QP? I can't find a direct
> reference to this problem, but just to the KKT matrix.
This has nothing to do with a special algorithm, and nothing to do
with a limitation of an algorithm. Your example problem had more than
one solution. `qp' and `sqp' can come up with different solutions
which are both correct.
Olaf
--
public key id EAFE0591, e.g. on x-hkp://pool.sks-keyservers.net
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- QP solves for zero instead of min?, Juan Pablo Carbajal, 2014/08/02
- Re: QP solves for zero instead of min?, Olaf Till, 2014/08/03
- Re: QP solves for zero instead of min?, Juan Pablo Carbajal, 2014/08/03
- Re: QP solves for zero instead of min?,
Olaf Till <=
- Re: QP solves for zero instead of min?, Juan Pablo Carbajal, 2014/08/03
- Re: QP solves for zero instead of min?, Olaf Till, 2014/08/03
- Re: QP solves for zero instead of min?, Juan Pablo Carbajal, 2014/08/03
- Re: QP solves for zero instead of min?, Olaf Till, 2014/08/03
- Re: QP solves for zero instead of min?, Juan Pablo Carbajal, 2014/08/04