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Solve quadprog #1896

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Solve quadprog #1896

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5e97c16
compile but this always casts vars to doubles
rok-cesnovar Apr 16, 2020
6144ebd
remove the need for the second function
rok-cesnovar Apr 17, 2020
931fe66
solve_quadprog works for G is var
rok-cesnovar Apr 18, 2020
07a4932
more templating
rok-cesnovar Apr 18, 2020
4c3a855
any arg can be a parameter
rok-cesnovar Apr 18, 2020
04020e9
tests
rok-cesnovar Apr 18, 2020
c57e758
Merge remote-tracking branch 'origin/develop' into solve_quadprog
rok-cesnovar May 9, 2020
3a05585
added solve_quadprog_chol
rok-cesnovar May 9, 2020
ace2bdb
Merge remote-tracking branch 'origin/develop' into solve_quadprog
rok-cesnovar May 11, 2020
afe2c16
add Sean's optimizations
rok-cesnovar May 11, 2020
d6b6491
syntax fixes
rok-cesnovar May 11, 2020
f076923
fix compile issues
rok-cesnovar May 11, 2020
7b9f332
add Sean's corrections
rok-cesnovar May 18, 2020
78c3398
Smaller epsilon value
spinkney May 19, 2020
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tests
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@rok-cesnovar
rok-cesnovar committed Apr 18, 2020
commit 04020e938a5bd308b52251b72352a806895945cc
41 changes: 38 additions & 3 deletions test/unit/math/rev/fun/solve_quadprog_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -11,9 +11,9 @@ TEST(AgradRevMatrix, dddddd) {
Eigen::MatrixXd CI(3,4);
Eigen::VectorXd ci0(4);

G << 2.1, 1.5, 1.2,
1.5, 2.2, 1.3,
1.2, 1.3, 3.1;
G << 2.1, 0.0, 1.0,
1.5, 2.2, 0.0,
1.2, 1.3, 3.1;

g0 << 6, 1, 1;

Expand All @@ -29,6 +29,11 @@ TEST(AgradRevMatrix, dddddd) {


stan::math::vector_d x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i), 1e-8);
}
}

TEST(AgradRevMatrix, vddddd) {
Expand Down Expand Up @@ -57,6 +62,11 @@ TEST(AgradRevMatrix, vddddd) {


stan::math::vector_v x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i).val(), 1e-8);
}
}

TEST(AgradRevMatrix, vvdddd) {
Expand Down Expand Up @@ -85,6 +95,11 @@ TEST(AgradRevMatrix, vvdddd) {


stan::math::vector_v x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i).val(), 1e-8);
}
}

TEST(AgradRevMatrix, vvvddd) {
Expand Down Expand Up @@ -113,6 +128,11 @@ TEST(AgradRevMatrix, vvvddd) {


stan::math::vector_v x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i).val(), 1e-8);
}
}

TEST(AgradRevMatrix, vvvvdd) {
Expand Down Expand Up @@ -141,6 +161,11 @@ TEST(AgradRevMatrix, vvvvdd) {


stan::math::vector_v x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i).val(), 1e-8);
}
}

TEST(AgradRevMatrix, vvvvvd) {
Expand Down Expand Up @@ -169,6 +194,11 @@ TEST(AgradRevMatrix, vvvvvd) {


stan::math::vector_v x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i).val(), 1e-8);
}
}

TEST(AgradRevMatrix, vvvvvv) {
Expand Down Expand Up @@ -197,4 +227,9 @@ TEST(AgradRevMatrix, vvvvvv) {


stan::math::vector_v x = stan::math::solve_quadprog(G, g0, CE, ce0, CI, ci0);
stan::math::vector_d solution(3);
solution << -3e-16, 2, 0;
for(int i=0;i<x.size();i++) {
EXPECT_NEAR(solution(i), x(i).val(), 1e-8);
}
}