lagrangian: Solve lagrange multiplier problems

[ bsd3, library, math ] [ Propose Tags ]

Numerically solve convex lagrange multiplier problems with conjugate gradient descent.

For example, find the maximum entropy with the constraint that the probabilities sum to one.

> solve 0.00001 (negate . sum . map (x -> x * log x)) [sum <=> 1] 3
([0.33, 0.33, 0.33], [-0.09])

The first elements of the result pair are the arguments for the objective function at the minimum. The second elements are the lagrange multipliers.

Dependencies ad (==3.4.*), base (==4.6.*), hmatrix (==0.14.*), nonlinear-optimization (==0.3.*), vector (==0.10.*) [details]
License BSD-3-Clause
Author Jonathan Fischoff
Category Math
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Uploaded by JonathanFischoff at Sat Mar 9 03:28:15 UTC 2013
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Downloads 3712 total (18 in the last 30 days)
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