build a sequential quadratic programming solver in matlab

To build a Sequential Quadratic Programming (SQP) solver in MATLAB, you can follow these general steps:

  1. Define and initialize the problem variables: Define the objective function and constraints with respect to the problem variables. You should also initialize the initial guess for the optimizer and the linear equality and inequality constraints.
main.m
% Objective function
f = @(x) x(1)^2 +x(2)^2; 

% Initial guess
x0 = [10; 12];

% Linear equality constraint
Aeq = [-3, 1]

beq = 5;

% Linear inequality constraint
A = [1, 2]

b = 10;
185 chars
16 lines
  1. Implement the SQP algorithm: The SQP algorithm solves a quadratic programming sub-problem at each iteration, then use the solution to update the current solution guess. Define the objective and constraint functions for SQP and run the optimization algorithm.
main.m
% Objective function for SQP
sqpObj = @(x) f(x);

% Non-linear constraint
sqpNonlinCon = [];

% Objective gradient for SQP
sqpObjGrad = @(x) [2*x(1); 2*x(2)];

% Constraint gradient for SQP
sqpNonlinConGrad = [];

% SQP algorithm
options = optimoptions('fmincon',..., 
  'Algorithm','sqp',...
  'Display','final-detailed');
[xstar, fstar] = fmincon(sqpObj, x0, A, b, Aeq, beq, [], [], sqpNonlinCon, options)
408 chars
18 lines
  1. Execute and visualize the results: Once the SQP algorithm has completed, visualize the results with appropriate plots and/or output values.
main.m
% Display final results
fprintf('**** SQP Solver via MATLAB ****\n');
fprintf('Optimization completed with status: %s\n', result.solver.status);
fprintf('Optimal solution: x1=%.4f, x2=%.4f\n', xstar(1), xstar(2));
fprintf('Optimal value of the objective function: %.4f\n\n', fstar);

% Plot the constraints and the optimum
[X,Y] = meshgrid(-30:.1:30,-30:.1:30);
Z = X.^2 + Y.^2;
hold on;
contour(X,Y,Z,20);
line([5,-5],[-30,30],'Color','black','LineWidth',1);
line([1,-40],[-20,10],'Color','black','LineWidth',1);
plot(xstar(1), xstar(2), 'r*');
hold off;
xlabel('X1');ylabel('X2');
title('SQP Solver - Constrained Optimization');
631 chars
18 lines

This is a general framework for building an SQP solver in MATLAB. You can customize the problem variables and constraints according to your specific optimization problem.

gistlibby LogSnag