This routine minimizes an arbitrary quadratic function subject to a constraint on the l2-norm of the variables. The problem is of a form commonly encountered as a sub-problem in trust region algorithms, but undoubtedly has other applications as well.
[xmin,Jmin] = trustregprob(Q,b,w)
[xmin,Jmin] = trustregprob(Q,b,w,doEquality)
When doEquality=true (the default), the routine solves,
minimize J(x) = x.'*Q*x/2-dot(b,x) such that ||x|| = w
where ||x|| is the l2-norm of x. The variables returned xmin, Jmin are the minimizing x and its objective function value J(x).
When doEquality=false, the routine solves instead subject to ||x|| <= w .
Q is assumed symmetric, but not necessarily positive semi-definite. In other words, the objective function J(x) is potentially non-convex. Since the solution is based on eigen-decomposition, it is appropriate mainly for Q not too large. If multiple solutions exist, only one solution is returned.
Matt J (2023). Quadratic minimization with norm constraint (https://www.mathworks.com/matlabcentral/fileexchange/53191-quadratic-minimization-with-norm-constraint), MATLAB Central File Exchange. 取得済み .
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ヒントを得たファイル: Least-square with 2-norm constraint
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Improved error checking
Fixed a bug that affected the special case b=zeros(N,1)
Improved numerical robustness
Minor polishes to file description