The lagrangian package

[ Tags: 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.

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 (==3.4.*), base (==4.6.*), hmatrix (==0.14.*), nonlinear-optimization (==0.3.*), vector (==0.10.*) [details]
License BSD3
Author Jonathan Fischoff
Maintainer jonathangfischoff@gmail.com
Category Math
Home page http://github.com/jfischoff/lagrangian
Uploaded Sat Mar 9 03:28:15 UTC 2013 by JonathanFischoff
Distributions NixOS:0.6.0.1
Downloads 2257 total (102 in the last 30 days)
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