Crate osqp

The OSQP (Operator Splitting Quadratic Program) solver is a numerical optimization package for solving convex quadratic programs in the form \[\begin{split}\begin{array}{ll} \mbox{minimize} & \frac{1}{2} x^T P x + q^T x \\ \mbox{subject to} & l \leq A x \leq u \end{array}\end{split}\] where \(x\) is the optimization variable and \(P \in \mathbf{S}^{n}_{+}\) a positive semidefinite matrix.

Further information about the solver is available at osqp.readthedocs.io.

Example

Consider the following QP

\[\begin{split}\begin{array}{ll} \mbox{minimize} & \frac{1}{2} x^T \begin{bmatrix}4 & 1\\ 1 & 2 \end{bmatrix} x + \begin{bmatrix}1 \\ 1\end{bmatrix}^T x \\ \mbox{subject to} & \begin{bmatrix}1 \\ 0 \\ 0\end{bmatrix} \leq \begin{bmatrix} 1 & 1\\ 1 & 0\\ 0 & 1\end{bmatrix} x \leq \begin{bmatrix}1 \\ 0.7 \\ 0.7\end{bmatrix} \end{array}\end{split}\]

use osqp::{Settings, Workspace};

// Define problem data
let P = &[[4.0, 1.0],
          [1.0, 2.0]];
let q = &[1.0, 1.0];
let A = &[[1.0, 1.0],
          [1.0, 0.0],
          [0.0, 1.0]];
let l = &[1.0, 0.0, 0.0];
let u = &[1.0, 0.7, 0.7];

// Change the default alpha and disable verbose output
let settings = Settings::default()
    .alpha(1.0)
    .verbose(false);

// Create an OSQP workspace
let mut workspace = Workspace::new(P, q, A, l, u, &settings);

// Solve problem
let solution = workspace.solve();

// Print the solution
println!("{:?}", solution.x());

Structs

CscMatrix
Settings
Solution
Workspace

Enums

LinsysSolver
Status