Solve a strictly convex quadratic program
Minimize 1/2 x^T G x - a^T x
Subject to C.T x >= b
This routine uses the the Goldfarb/Idnani dual algorithm [1].
References
---------
... [1] D. Goldfarb and A. Idnani (1983). A numerically stable dual
method for solving strictly convex quadratic programs.
Mathematical Programming, 27, 1-33.
pip install quadprog
- Runtime
numpy
- Build time
numpy,cython, C++ compiler.