Is there a quadratic programming library in C++?

Daniel Gao picture Daniel Gao · Nov 6, 2011 · Viewed 15.2k times · Source

The only Google search result I found is QuadProg++ but it can not solve the quadratic programming problem whose matrix is not applicable for Cholesky decomposition.

So can anyone give me some suggestion on other library? Thanks.

Answer

Wok picture Wok · Nov 8, 2012

CGAL looks great for quadratic programming. There is even a manual.

  // by default, we have a nonnegative QP with Ax <= b
  Program qp (CGAL::SMALLER, true, 0, false, 0); 

  // now set the non-default entries: 
  const int X = 0; 
  const int Y = 1;
  qp.set_a(X, 0,  1); qp.set_a(Y, 0, 1); qp.set_b(0, 7);  //  x + y  <= 7
  qp.set_a(X, 1, -1); qp.set_a(Y, 1, 2); qp.set_b(1, 4);  // -x + 2y <= 4
  qp.set_u(Y, true, 4);                                   //       y <= 4
  qp.set_d(X, X, 2); qp.set_d (Y, Y, 8); // !!specify 2D!!    x^2 + 4 y^2
  qp.set_c(Y, -32);                                       // -32y
  qp.set_c0(64);                                          // +64

  // solve the program, using ET as the exact type
  Solution s = CGAL::solve_quadratic_program(qp, ET());
  assert (s.solves_quadratic_program(qp));

Code from the first example.