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quadprog: Quadratic Programming Solver (Python)

Solve a strictly convex quadratic program

Minimize     1/2 x^T G x - a^T x
Subject to   C.T x >= b

This routine uses the the Goldfarb/Idnani dual algorithm [1].

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

Installation

pip install quadprog

Dependencies

• Runtime
  • numpy
• Installation
  • numpy
  • C compiler if installing from sdist
  • Cython if building from source

Developing

See docs/DEVELOP.md.