The lagrangian package

[Tags:bsd3, library, test]

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
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 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 BSD3
Author Jonathan Fischoff
Category Math
Home page
Uploaded Sat Mar 9 03:57:04 UTC 2013 by JonathanFischoff
Distributions NixOS:
Downloads 2032 total (1 in the last 30 days)
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Status Docs uploaded by user
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