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mosek optimization toolbox for m

mosek optimization toolbox for m

作者: 徐超Change | 来源:发表于2014-08-04 17:07 被阅读515次

内容来自官方文档:The MOSEK optimization toolbox for MATLAB manual

Solve linear optimization problems using either an interior-point or a simplex optimizer.

mosek的linprog函数代替了matlab自带的函数,功能一样:

command line:x = linprog(f,A,b,[],[],l);      

problem: min f'*x     st. A*x <= b  && l <= x;

Solve conic quadratic and semidefinite optimization problems.

线性目标,线性约束,加上约束:x向量的取值范围在一个锥形区域(这个表达式一般为z>=dist(x,y))

Solve convex quadratic optimization problems.

二次:目标是二次函数,线性约束;

凸:二次矩阵Q对称半正定(positive semidefinite),i.e. Q对称;Q的特征值都非负

command:quadprog

Handle convex quadratic constraints.

同上

Solve mixed-integer optimization problems, including linear, convex quadratic and conic quadratic problems.

混合整数规划:x中的一些分量是整数

Solve linear least squares problems with linear constraints.

线性最小二乘问题:目标是2范数/1范数;约束为线性

lsqlin:Minimizes a least-squares objective with linear constraints.

lsqnnonneg:Minimizes a least-squares objective with nonnegativity constraints.

Solve linear  and  norm minimization problems.

同上

Solve linearly constrained entropy optimization problems.

熵优化问题:x中某些项是x*lnx形式的

Solve geometric programming problems (posynomial programming).

几何优化:目标函数和约束条件都是如下形式:

Solve separable convex optimization problems.

Read and write industry standard MPS files.

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