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Quadratic Programming Solver
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README.md

quadprog

Build Status

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.

Installation

pip install quadprog

Dependencies

  • Runtime
    • numpy
  • Build time
    • numpy, cython, C++ compiler.
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