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jeewantha_d_

Beginner

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04-04-2017
08:03 AM

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Quadratic programming in intel math kernal lib

I am a intel fortran commercial user and looking for general Quadratic programming routine, but I was unable to find it in the math library. The existing routines limited to the constrain L1 <= x <<L2. see

https://software.intel.com/en-us/node/471098#7CF8EA20-5C99-4E1D-A8D6-C6225A3F406B

In mathlab, the general solution is

with constrains

Ax<=b Aeq. x =Beq lb<=x<<la

https://www.mathworks.com/help/optim/ug/quadprog.html?requestedDomain=www.mathworks.com

Our constrain requirement is minimization subjected to Ax <= b

2 Replies

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Zhen_Z_Intel

Employee

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04-06-2017
01:50 AM

36 Views

Dear customer,

There's no QP solver in MKL. But what I feel confused is why you are using non-linear least square solver for QP constraints. The hard constraints are linear.

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mecej4

Black Belt

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04-06-2017
03:58 AM

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MKL does not provide routines for general minimization, even for a function of one variable. The TRNLS and TRNLSBC routines can be used for QP with bound constraints, but will not be as efficient as a dedicated QP routine.

See http://plato.asu.edu/sub/pns.html and look for a solver that meets your needs. In particular, consider Gurobi and BPMPD as QP solvers, and Mosek and Knitro as a general optimization package with facilities for solving QP problems.

For more complete information about compiler optimizations, see our Optimization Notice.