Quadratic Programming Routine in Third Edition?


DavidB
01-27-2008, 08:21 PM
Another routine I miss in Numerical Recipes: a routine for Quadratic Programming (Optimization) with constraints, for example, upper and lower bounds for permitted values of x, as well as constraints of the form [A] (x) <= (b).

I have kept my eyes open for source code for such a program for a number of years, but it doesn't seem to be the sort of program coders are willing to part with for free. All software I see for such a task is quite expensive (although I have heard that MATLAB, for example, doesn't do a very good job with Quadratic Programming problems anyhow).

Is such code included in the Third Edition? If not, could it be added to a "Wish List" for a future edition?

Saul Teukolsky
01-28-2008, 10:34 AM
There is a discussion of quadratic programming with some references. There is a detailed discussion and application to support vector machines, which shows the kinds of issues that have to be dealt with in a typical quadratic programming problem. (But it's not a general-purpose quadratic programming routine.)

Saul Teukolsky