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.

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 (==3.4.*), base (==4.6.*), hmatrix (==0.14.*), nonlinear-optimization (==0.3.*), vector (==0.10.*) [details]
License BSD-3-Clause
Author Jonathan Fischoff
Maintainer jonathangfischoff@gmail.com
Category Math
Home page http://github.com/jfischoff/lagrangian
Uploaded by JonathanFischoff at Sat Mar 9 03:28:15 UTC 2013
Distributions NixOS:0.6.0.1
Downloads 3502 total (19 in the last 30 days)
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