16 lines
305 B
Matlab
16 lines
305 B
Matlab
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function [delta lambda] = solveCQP(B, A, At, g, h)
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n = size(B,1);
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p = size(A,2);
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% form the KKT matrix system
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G = [B A; At zeros(p,p)];
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rhs = -[g; h];
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% solve with LDL
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[L D] = ldl(G);
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approx_error = norm(G - L*D*L'); %% verify error
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sol = L'\(D\(L\rhs));
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delta = sol(1:n);
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lambda = sol(n+1:size(sol));
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