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@(@\newcommand{\W}[1]{ \; #1 \; } \newcommand{\R}[1]{ {\rm #1} } \newcommand{\B}[1]{ {\bf #1} } \newcommand{\D}[2]{ \frac{\partial #1}{\partial #2} } \newcommand{\DD}[3]{ \frac{\partial^2 #1}{\partial #2 \partial #3} } \newcommand{\Dpow}[2]{ \frac{\partial^{#1}}{\partial {#2}^{#1}} } \newcommand{\dpow}[2]{ \frac{ {\rm d}^{#1}}{{\rm d}\, {#2}^{#1}} }@)@
abs_normal qp_interior: Example and Test

Problem
Our original problem is @[@ \R{minimize} \; | u - 1| \; \R{w.r.t} \; u \in \B{R} @]@ We reformulate this as the following problem @[@ \begin{array}{rlr} \R{minimize} & v & \R{w.r.t} \; (u,v) \in \B{R}^2 \\ \R{subject \; to} & u - 1 \leq v \\ & 1 - u \leq v \end{array} @]@ This is equivalent to @[@ \begin{array}{rlr} \R{minimize} & (0, 1) \cdot (u, v)^T & \R{w.r.t} \; (u,v) \in \B{R}^2 \\ \R{subject \; to} & \left( \begin{array}{cc} 1 & -1 \\ -1 & -1 \end{array} \right) \left( \begin{array}{c} u \\ v \end{array} \right) + \left( \begin{array}{c} -1 \\ 1 \end{array} \right) \leq 0 \end{array} @]@ which is in the form expected by qp_interior .

Source

# include <limits>
# include <cppad/utility/vector.hpp>
# include "qp_interior.hpp"

bool qp_interior(void)
{     bool ok = true;
     typedef CppAD::vector<double> vector;
     //
     size_t n = 2;
     size_t m = 2;
     vector C(m*n), c(m), G(n*n), g(n), xin(n), xout(n), yout(m), sout(m);
     C[ 0 * n + 0 ] =  1.0; // C(0,0)
     C[ 0 * n + 1 ] = -1.0; // C(0,1)
     C[ 1 * n + 0 ] = -1.0; // C(1,0)
     C[ 1 * n + 1 ] = -1.0; // C(1,1)
     //
     c[0]           = -1.0;
     c[1]           =  1.0;
     //
     g[0]           =  0.0;
     g[1]           =  1.0;
     //
     // G = 0
     for(size_t i = 0; i < n * n; i++)
          G[i] = 0.0;
     //
     // If (u, v) = (0,2), C * (u, v) + c = (-2,-2)^T + (1,-1)^T < 0
     // Hence (0, 2) is feasible.
     xin[0] = 0.0;
     xin[1] = 2.0;
     //
     double epsilon = 99.0 * std::numeric_limits<double>::epsilon();
     size_t maxitr  = 10;
     size_t level   = 0;
     //
     ok &= CppAD::qp_interior(
          level, c, C, g, G, epsilon, maxitr, xin, xout, yout, sout
     );
     //
     // check optimal value for u
     ok &= std::fabs( xout[0] - 1.0 ) < epsilon;
     // check optimal value for v
     ok &= std::fabs( xout[1] ) < epsilon;
     //
     return ok;
}

Input File: example/abs_normal/qp_interior.cpp