Expand description
Least-squares multiplier estimate — port of
Algorithm/IpLeastSquareMults.{hpp,cpp}. Solves the W=0
augmented system to get an initial y_c/y_d.
The system, with delta_x = delta_s = 1.0 and all other
perturbations / weights zero (matching upstream IpLeastSquareMults.cpp:60):
[ I 0 J_c^T J_d^T ] [dx ] [ −∇f + Pₗ z_L − Pᵤ z_U ]
[ 0 I 0 −I ] [ds ] = [ Pₗ v_L − Pᵤ v_U ]
[ J_c 0 0 0 ] [dyc] [ 0 ]
[ J_d −I 0 0 ] [dyd] [ 0 ]Sign convention from IpLeastSquareMults.cpp:54-61. dyc, dyd
are the least-squares estimates we keep as y_c, y_d; dx,
ds are discarded.