demo/QPQC.R

In cccp: Cone Constrained Convex Problems

##
## Demo for solving a constrained Least-Squares Problem:
## A quadratic program with second-order cone constraint
## (Example taken from cvxopt's userguide)
##
## Creating QP
adat <- c(0.3, -0.4, -0.2, -0.4, 1.3,
          0.6, 1.2, -1.7, 0.3, -0.3,
          -0.3, 0.0, 0.6, -1.2, -2.0)
A <- matrix(adat, nrow = 5, ncol = 3)
b <- c(1.5, 0.0, -1.2, -0.7, 0.0)
P <- crossprod(A)
q <- -crossprod(A, b)
G = -diag(3)
h = rep(0, 3)
nno1 <- nnoc(G = G, h = h)
F = diag(3)
g = rep(0, 3)
d = rep(0, 3)
f = 1
soc1 <- socc(F = F, g = g, d = d, f = f)
## Solving QP
ans <- cccp(P = P, q = q, cList = list(nno1, soc1))
ans
x <- getx(ans)
round(sqrt(sum(x^2)))