The lagrangian package

[Tags:bsd3, library, test]

Numerically solve convex Lagrange multiplier problems with conjugate gradient descent.

For some background on the method of Lagrange multipliers checkout the wikipedia page

Here is an example from the Wikipedia page on Lagrange multipliers Maximize f(x, y) = x + y, subject to the constraint x^2 + y^2 = 1

> maximize 0.00001 (\[x, y] -> x + y) [(\[x, y] -> x^2 + y^2) <=> 1] 2
Right ([0.707,0.707], [-0.707])

For more information look here:

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

> maximize 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 maximum. 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
Stability Unknown
Category Math
Home page
Uploaded Sun Mar 10 06:00:17 UTC 2013 by JonathanFischoff
Distributions NixOS:
Downloads 1912 total (16 in the last 30 days)
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Status Docs uploaded by user
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