lagrmult.m

来自「various matlab programs to slove various」· M 代码 · 共 18 行

function [x,vinc,nit]=lagrmult(x0,lambda0,alpha0,beta,f,h,toll)
x = x0; [r,c]=size(h); vinc = 0; lambda = lambda0;
for i=1:r,    vinc = max(vinc,eval(h(i,1:c)));   end
norm2h=['(',h(1,1:c),')^2'];
for i=2:r,    norm2h=[norm2h,'+(',h(i,1:c),')^2'];    end
alpha = alpha0; options(1)=0; options(2)=toll*0.1; nit = 0;
while vinc > toll
  lh=['(',h(1,1:c),')*',num2str(lambda(1))];
  for i=2:r, lh=[lh,'+(',h(i,1:c),')*',num2str(lambda(i))];
  end
  g=[f,'+0.5*',num2str(alpha,16),'*',norm2h,'+',lh];
  [x]=fmins(g,x,options);
  vinc=0; nit = nit + 1;
  for i=1:r,  vinc = max(vinc,eval(h(i,1:c)));  end
  alpha=alpha*beta;
  for i=1:r, lambda(i)=lambda(i)+alpha*eval(h(i,1:c)); end
end
return