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Quadprog solver not following constraints

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Nathan Batta
Nathan Batta on 2 Sep 2020
Edited: Matt J on 14 Sep 2020
Hello!
I am working on a project where I use quadprog to solve an optimization problem for a model predictive controller (MPC). I am trying to apply very simple bounds to the optimization problem but it does not seem to be working.
Here is a snippet of my code:
for i =1:2*iC
lb(i,:)=-50000;
ub(i,:)=50000;
end
duf = quadprog(H,F,[],[],[],[],lb,ub);
The for loop ensures that lb and ub are the same size as duf. However, when I run the program, quadprog seems to simply ignore the constraints. Am I missing something simple? Thank you!

  2 Comments

Nathan Batta
Nathan Batta on 14 Sep 2020
It does follow bounds that are equal to zero though. So if either the upper or lower bound is zero, it will follow that constraint but nothing else
Matt J
Matt J on 14 Sep 2020
We need a description of what you actually see. What indications do you see that the bounds are not obeyed? How much larger is the violation than the ConstraintTolerance parameter? Also, please attach a .mat file containing H, F, lb, and ub so that we can run the optimization ourselves and try to reproduce your output.

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Answers (1)

Abdolkarim Mohammadi-Balani
Edited: Abdolkarim Mohammadi-Balani on 2 Sep 2020
Your bounds are the same for all of the variables, so they can be defined easier:
lb = -5e4 * ones(1,2*iC);
ub = 5e4 * ones(1,2*iC);

  3 Comments

Nathan Batta
Nathan Batta on 2 Sep 2020
Good catch! However, I am still having the same issue.
Abdolkarim Mohammadi-Balani
Have you tried increasing the MaxIterations option?
Nathan Batta
Nathan Batta on 3 Sep 2020
Yes. It didn't have any effect on the optimization

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