cccp {cccp}

Solving linear and quadratic programs with cone constraints

Description

This function is the main function for defining and solving convex problems in the form of either linear or quadratic programs with cone constraints.

Usage

cccp(P = NULL, q = NULL, A = NULL, b = NULL, cList = list(),
     x0 = NULL, f0 = NULL, g0 = NULL, h0 = NULL,
     nlfList = list(), nlgList = list(), nlhList = list(),
     optctrl = ctrl())

Arguments

P

An object of class matrix with dimension N \times N or NULL.

q

An object of class vector with dimension N \times 1 or NULL.

A

An object of class matrix with dimension p \times N.

b

An object of class vector with dimension p \times 1.

cList

A list object containing the cone constraints. Elements must be of either S4-class NNOC, or SOCC, or PSDC.

x0

An object of class vector with dimension n \times 1 for the initial values. The point x0 must be in the domain of the nonlinear constraints.

f0

function: the scalar-valued convex and twice-differentiable objective function (its first argument must be ‘x’).

g0

function: the gradient function of the objective (its first argument must be ‘x’).

h0

function: the Hessian function of the objective (its first argument must be ‘x’).

nlfList

A list object containing the nonlinear constraints as its elements. The functions have to be specified with x as their first argument and must be casted in implicit form, i.e. f(x) \le 0.

nlgList

A list object containing the gradient functions as its elements. The functions have to be specified with x as their first argument.

nlhList

A list object containing the Hessian functions as its elements. The functions have to be specified with x as their first argument.

optctrl

An object of S4-class Rcpp_CTRL.

Value

An object of class Rcpp_CPS.