The lagrangian package

[Tags: bsd3, library]

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.


Properties

Versions0.1.0.0, 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
Dependenciesad (==3.4.*), base (==4.6.*), hmatrix (==0.14.*), nonlinear-optimization (==0.3.*), vector (==0.10.*)
LicenseBSD3
AuthorJonathan Fischoff
Maintainerjonathangfischoff@gmail.com
CategoryMath
Home pagehttp://github.com/jfischoff/lagrangian
Upload dateSat Mar 9 03:57:04 UTC 2013
Uploaded byJonathanFischoff
Downloads371 total (27 in last 30 days)

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