The function may be called by the names: e04rsc or nag_opt_handle_set_qconstr.
After the handle has been initialized (e.g., e04rac has been called),
e04rsc may be used to edit a model by adding or replacing a quadratic objective function or constraint of the form
respectively. If a factor of such that is available, e04rtc should be called instead.
The matrix is a sparse symmetric matrix. Typically e04rsc would be used together with
Second-order Cone Programming (SOCP)
solver e04ptc if is positive semidefinite which implies the problem is convex. Otherwise, if the problem is nonconvex, a general nonlinear optimization solver (such as e04stc) may be used. It is also acceptable if is a zero matrix, in which case the corresponding objective function or constraint becomes linear. Note that it is possible to temporarily disable and enable individual constraints in the model by e04tccande04tbc, respectively. See Section 4.1 in the E04 Chapter Introduction for more details about the NAG optimization modelling suite.
1: – void *Input
On entry: the handle to the problem. It needs to be initialized (e.g., by e04rac) and must not be changed between calls to the NAG optimization modelling suite.
2: – doubleInput
On entry: the constant term in quadratic constraint.
On entry: the number of nonzero elements in the sparse vector .
If , is considered to be zero and the arrays idxr and r will not be referenced and may be NULL.
4: – const IntegerInput
5: – const doubleInput
On entry: the nonzero elements of the sparse vector . must contain the index of
in the vector, for . No particular order is expected, but elements should not repeat. Note that is the current number of variables in the problem.
, for .
6: – IntegerInput
On entry: the number of nonzero elements in the upper triangle of the matrix .
If , the matrix is considered to be zero, the objective function or constraint is linear and irowq, icolq and q will not be referenced and may be NULL.
7: – const IntegerInput
8: – const IntegerInput
9: – const doubleInput
On entry: arrays irowq, icolq and q store the nonzeros of the upper triangle of the matrix in coordinate storage (CS) format (see Section 2.1.1 in the F11 Chapter Introduction). irowq specifies one-based row indices, icolq specifies one-based column indices and q specifies the values of the nonzero elements in such a way that where ,
, for . No particular order is expected, but elements should not repeat.
, for .
10: – Integer *Input/Output
A new quadratic constraint is created.
Specifies the index of an existing constraint to be replaced. i.e., replaces the idqcth constraint.
A new quadratic objective is created and will replace any previously defined objective function.
On exit: if on entry, then idqc is overwritten with the index of the new quadratic constraint. By definition, this is the number of quadratic constraints already defined plus one. Otherwise, idqc stays unchanged.
11: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error Indicators and Warnings
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument had an illegal value.
The supplied handle does not define a valid handle to the data structure for the NAG optimization modelling suite. It has not been properly initialized or it has been corrupted.
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
On entry, , and . Constraint: .
On entry, , and . Constraint: (elements within the upper triangle).
On entry, , and . Constraint: .
On entry, more than one element of q has row index and column index . Constraint: each element of q must have a unique row and column index.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
On entry, more than one element of idxr has index . Constraint: each element of idxr must have a unique index.
The problem cannot be modified right now, the solver is running.
On entry, . The given idqc does not match with any quadratic constraint already defined.
8Parallelism and Performance
e04rsc is not threaded in any implementation.
This example demonstrates how to define and solve a convex quadratically constrained quadratic programming problem via SOCP. See also e04rtc where the quadratic term is defined by its factor.
This example solves a quadratically constrained quadratic programming problem
The optimal solution (to five significant figures) is