MATLAB OPTIMIZATION TOOLBOX - RELEASE NOTES Manuel d'utilisateur télécharger pdf (Page 42)

R2011a

9-2

New Quadratic Programming Algorithm

quadprog has a new algorithm named 'interior-point-convex'. It has these

features:

• The algorithm has fast internal linear algebra.

• The algorithm handles sparse problems.

• There is a new presolve module that can improve speed, numerical stability, and

detection of infeasibility.

• The algorithm handles large convex problems, and accepts and uses sparse inputs.

See Large-Scale vs. Medium-Scale Algorithms.

• The algorithm optionally gives iterative display.

• The algorithm has enhanced exit messages.

For details on the algorithm, see interior-point-convex quadprog Algorithm. For help

choosing the algorithm to use, see Quadratic Programming Algorithms.

Compatibility Considerations

You now choose the quadprog algorithm by using optimset to set the Algorithm

option instead of the LargeScale option. If you don't set Algorithm or LargeScale,

quadprog behaves as before.

Algorithm option choices are:

• trust-region-reflective (formerly LargeScale = 'on'), the default

• active-set (formerly LargeScale = 'off')

• interior-point-convex

The previous way of choosing the quadprog algorithm at the command line was to set

the LargeScale option to 'on' or 'off'. quadprog now ignores the LargeScale

option, except when you set the inconsistent values LargeScale = 'off' and

Algorithm = 'trust-region-reflective'. In this case, to avoid backward

incompatibility, quadprog honors the LargeScale option, and uses the 'active-set'

algorithm.

quadprog now checks whether any inputs are complex, and, if so, it errors. The only

exception is the Hinfo argument for the HessMult option is allowed to be complex.

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MATLAB OPTIMIZATION TOOLBOX - RELEASE NOTES Manuel d'utilisateur Page 42