The lagrangian package
Numerically solve convex Lagrange multiplier problems with conjugate gradient descent.
For some background on the method of Lagrange multipliers checkout the wikipedia page http://en.wikipedia.org/wiki/Lagrange_multiplier
Here is an example from the Wikipedia page on Lagrange multipliers Maximize f(x, y) = x + y, subject to the constraint x^2 + y^2 = 1
> maximize 0.00001 (\[x, y] -> x + y) [(\[x, y] -> x^2 + y^2) <=> 1] 2 Right ([0.707,0.707], [-0.707])
For more information look here: http://en.wikipedia.org/wiki/Lagrange_multiplier#Example_1
For example, to find the maximum entropy with the constraint that the probabilities sum to one.
> maximize 0.00001 (negate . sum . map (\x -> x * log x)) [sum <=> 1] 3 Right ([0.33, 0.33, 0.33], [-0.09])
The first elements of the result pair are the arguments for the objective function at the maximum. The second elements are the Lagrange multipliers.
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Properties
| Versions | 0.1.0.0, 0.2.0.0, 0.2.0.1, 0.2.0.2, 0.3.0.0, 0.3.0.1, 0.4.0.0, 0.4.0.1, 0.5.0.0, 0.6.0.0, 0.6.0.1 |
|---|---|
| Dependencies | ad (==4.*), base (>=4.5 && <5), hmatrix (>=0.14 && <0.17), nonlinear-optimization (==0.3.*), vector (==0.10.*) |
| License | BSD3 |
| Author | (c) Jonathan Fischoff 2012-2014, (c) Eric Pashman 2014 |
| Maintainer | jonathangfischoff@gmail.com |
| Category | Math |
| Home page | http://github.com/jfischoff/lagrangian |
| Uploaded | Thu Oct 9 06:56:36 UTC 2014 by JonathanFischoff |
| Distributions | NixOS:0.6.0.1 |
| Downloads | 945 total (109 in last 30 days) |
| Status | Docs uploaded by user Build status unknown [no reports yet] |
Modules
- Numeric
[Index]
Downloads
- lagrangian-0.6.0.1.tar.gz [browse] (Cabal source package)
- Package description (included in the package)
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