Function burke

pub fn burke(psi: &Psi) -> Result<(Col<f64>, f64)>

Applies Burke’s Interior Point Method (IPM) to solve a convex optimization problem.

The objective function to maximize is: f(x) = Σ(log(Σ(ψ_ij * x_j))) for i = 1 to n_sub

subject to: 1. x_j ≥ 0 for all j = 1 to n_point, 2. Σ(x_j) = 1,

where ψ is an n_sub×n_point matrix with non-negative entries and x is a probability vector.

Arguments

• psi - A reference to a Psi structure containing the input matrix.

Returns

On success, returns a tuple (lam, obj) where:

• lam is a faer::Col containing the computed probability vector,
• obj is the value of the objective function at the solution.

Errors

This function returns an error if any step in the optimization (e.g. Cholesky factorization) fails.