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QuadProg++

A C++ library for Quadratic Programming which implements the Goldfarb-Idnani active-set dual method.

At present it is limited to the solution of strictly convex quadratic programs.

Previous versions of the project were hosted on sourceforge.

Install

To build the library simply go through the cmake .; make; make install cycle.

In order to use it, you will be required to include in your code file the Array.hh header, which contains a handy C++ implementation of Vectors and Matrices.

Contribution

Contributions and bug fixes are welcome.

References

D. Goldfarb, A. Idnani. A numerically stable dual method for solving strictly convex quadratic programs. Mathematical Programming 27 (1983) pp. 1-33.