qp() in octave-3.0.0 gets stuck on wrong answer to convex problem
John W. Eaton
jwe at bevo.che.wisc.edu
Fri Aug 22 13:55:34 CDT 2008
On 5-Jun-2008, Joshua Redstone wrote:
| 'help qp' in octave defines returning INFO=0 as "The problem is feasible and
| convex. Global solution found."which suggests it is returning the global
| minimum.
| qp() optimizes x'*H*x + x'*q, which I think is convex if the matrix H is
| positive semi-definite (which it is in this case), but my math is a bit weak
| in this area.
| Josh
Are you sure it is positive semi-definite? In the problem that you
sent, H has some negative eigenvalues.
jwe
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