bool MOSEK_SolveWrapper::setup(const LP_Constraints_Sparse & cstraints) //cstraints <-> constraints
{
assert(nbParams_ == cstraints.nbParams_);
MSK_deletetask(&task);
int NUMVAR = this->nbParams_;
int NUMCON = cstraints.constraint_mat_.rows();
int NUMANZ = cstraints.constraint_mat_.nonZeros();
MSKrescodee r = MSK_RES_OK;
if ( r==MSK_RES_OK )
{
// Directs the log task stream to the 'printstr' function.
if ( r==MSK_RES_OK )
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
// Create the optimization task.
r = MSK_maketask(env,NUMCON,NUMVAR,&task);
// Give MOSEK an estimate of the size of the input data.
//This is done to increase the speed of inputting data.
// However, it is optional.
if (r == MSK_RES_OK)
r = MSK_putmaxnumvar(task,NUMVAR);
if (r == MSK_RES_OK)
r = MSK_putmaxnumcon(task,NUMCON);
if (r == MSK_RES_OK)
r = MSK_putmaxnumanz(task,NUMANZ);
// Append 'NUMCON' empty constraints. The constraints will initially have no bounds.
if ( r == MSK_RES_OK )
r = MSK_append(task,MSK_ACC_CON,NUMCON);
// Append 'NUMVAR' variables. The variables will initially be fixed at zero (x=0).
if ( r == MSK_RES_OK )
r = MSK_append(task,MSK_ACC_VAR,NUMVAR);
}
this->nbParams_ = NUMVAR;
if (cstraints.bminimize_) {
r = MSK_putobjsense(task, MSK_OBJECTIVE_SENSE_MINIMIZE);
}
else {
r = MSK_putobjsense(task, MSK_OBJECTIVE_SENSE_MAXIMIZE);
}
// Optionally add a constant term to the objective.
if ( r ==MSK_RES_OK )
r = MSK_putcfix(task,0.0);
// Add the objective function if any
if (!cstraints.vec_cost_.empty()) {
// Set objective
for (size_t i = 0; i < cstraints.vec_cost_.size(); ++i)
r = MSK_putcj(task, i, cstraints.vec_cost_[i]);
}
//Add constraint row by row
const sRMat & A = cstraints.constraint_mat_;
std::vector<int> vec_colno;
std::vector<double> vec_value;
for (int i=0; i<A.rows(); ++i)
{
vec_colno.resize(0);
vec_value.resize(0);
for (sRMat::InnerIterator it(A,i); it; ++it)
{
vec_colno.push_back(it.col());
vec_value.push_back(it.value());
}
// Insert a row
r = MSK_putavec(task,
MSK_ACC_CON, // Input row of A.
MSKidxt(i), // Variable row index.
vec_colno.size(), // Number of non-zeros in row(i) A.
&vec_colno[0], // Pointer to row indexes of row i.
&vec_value[0]); // Pointer to Values of row i.
}
//Add bound on variables:
if (cstraints.vec_bounds_.size() == 1) {
for( size_t i = 0; i < NUMVAR; ++i) {
if(r == MSK_RES_OK)
r = MSK_putbound(task,
MSK_ACC_VAR, // Put bounds on variables.
MSKidxt(i), // Index of variable.
MSK_BK_RA, // Bound key.
cstraints.vec_bounds_[0].first, // Numerical value of lower bound.
cstraints.vec_bounds_[0].second); // Numerical value of upper bound.
}
}
else{
for( size_t i = 0; i < NUMVAR; ++i) {
// Set the bounds on variable j.
// lower bound <= x_j <= upper bound
if(r == MSK_RES_OK)
r = MSK_putbound(task,
MSK_ACC_VAR, // Put bounds on variables.
MSKidxt(i), // Index of variable.
MSK_BK_RA, // Bound key.
cstraints.vec_bounds_[i].first, // Numerical value of lower bound.
cstraints.vec_bounds_[i].second); // Numerical value of upper bound.
// in order to add sparse bounds use: MSK_putboundlist
}
}
// Add bounds on constraint
for(size_t i=0; i<NUMCON && r==MSK_RES_OK; ++i)
{
MSKboundkey_enum cst = convertSign(cstraints.vec_sign_[i]);
if (cst == MSK_BK_UP || cst == MSK_BK_RA)
r = MSK_putbound(task,
MSK_ACC_CON, // Put bounds on constraints.
MSKidxt(i), // Index of constraint.
cst, // Bound key.
-MSK_INFINITY, // Numerical value of lower bound.
cstraints.constraint_objective_(i)); //upper bound.
else if (cst == MSK_BK_LO)
r = MSK_putbound(task,
MSK_ACC_CON, // Put bounds on constraints.
MSKidxt(i), // Index of constraint.
cst, // Bound key.
cstraints.constraint_objective_(i),
+MSK_INFINITY);
else if (cst == MSK_BK_FX)
r = MSK_putbound(task,
MSK_ACC_CON, // Put bounds on constraints.
MSKidxt(i), // Index of constraint.
cst, // Bound key.
cstraints.constraint_objective_(i),
cstraints.constraint_objective_(i));
}
return r == MSK_RES_OK;
}
bool OSI_X_SolverWrapper<SOLVERINTERFACE>::setup(const LP_Constraints_Sparse & cstraints) //cstraints <-> constraints
{
bool bOk = true;
if ( si == NULL )
{
return false;
}
assert(nbParams_ == cstraints.nbParams_);
const int NUMVAR = cstraints.constraint_mat_.cols();
std::vector<double> col_lb(NUMVAR);//the column lower bounds
std::vector<double> col_ub(NUMVAR);//the column upper bounds
this->nbParams_ = NUMVAR;
si->setObjSense( ((cstraints.bminimize_) ? 1 : -1) );
const sRMat & A = cstraints.constraint_mat_;
//Equality constraint will be done by two constraints due to the API limitation (>= & <=)
const size_t nbLine = A.rows() +
std::count(cstraints.vec_sign_.begin(), cstraints.vec_sign_.end(), LP_Constraints::LP_EQUAL);
std::vector<double> row_lb(nbLine);//the row lower bounds
std::vector<double> row_ub(nbLine);//the row upper bounds
CoinPackedMatrix * matrix = new CoinPackedMatrix(false,0,0);
matrix->setDimensions(0, NUMVAR);
//-- Add row-wise constraint
size_t rowindex = 0;
for (int i=0; i < A.rows(); ++i)
{
std::vector<int> vec_colno;
std::vector<double> vec_value;
for (sRMat::InnerIterator it(A,i); it; ++it)
{
vec_colno.push_back(it.col());
vec_value.push_back(it.value());
}
if ( cstraints.vec_sign_[i] == LP_Constraints::LP_EQUAL || cstraints.vec_sign_[i] == LP_Constraints::LP_LESS_OR_EQUAL )
{
int coef = 1;
row_lb[rowindex] = -1.0 * si->getInfinity();
row_ub[rowindex] = coef * cstraints.constraint_objective_(i);
matrix->appendRow( vec_colno.size(),
&vec_colno[0],
&vec_value[0] );
rowindex++;
}
if ( cstraints.vec_sign_[i] == LP_Constraints::LP_EQUAL || cstraints.vec_sign_[i] == LP_Constraints::LP_GREATER_OR_EQUAL )
{
int coef = -1;
for ( std::vector<double>::iterator iter_val = vec_value.begin();
iter_val != vec_value.end();
iter_val++)
{
*iter_val *= coef;
}
row_lb[rowindex] = -1.0 * si->getInfinity();
row_ub[rowindex] = coef * cstraints.constraint_objective_(i);
matrix->appendRow( vec_colno.size(),
&vec_colno[0],
&vec_value[0] );
rowindex++;
}
}
//-- Setup bounds for all the parameters
if (cstraints.vec_bounds_.size() == 1)
{
// Setup the same bound for all the parameters
for (int i=0; i < this->nbParams_; ++i)
{
col_lb[i] = cstraints.vec_bounds_[0].first;
col_ub[i] = cstraints.vec_bounds_[0].second;
}
}
else // each parameter have it's own bounds
{
for (int i=0; i < this->nbParams_; ++i)
{
col_lb[i] = cstraints.vec_bounds_[i].first;
col_ub[i] = cstraints.vec_bounds_[i].second;
}
}
si->loadProblem(
*matrix,
&col_lb[0],
&col_ub[0],
cstraints.vec_cost_.empty() ? NULL : &cstraints.vec_cost_[0],
&row_lb[0],
&row_ub[0]);
delete matrix;
return bOk;
}
bool OSI_X_SolverWrapper::setup(const LP_Constraints_Sparse & cstraints) //cstraints <-> constraints
{
if ( si == nullptr )
{
return false;
}
assert(nbParams_ == cstraints.nbParams_);
const int NUMVAR = cstraints.constraint_mat_.cols();
std::vector<double>
col_lb(NUMVAR), // the column lower bounds
col_ub(NUMVAR); // the column upper bounds
this->nbParams_ = NUMVAR;
si->setObjSense( ((cstraints.bminimize_) ? 1 : -1) );
const sRMat & A = cstraints.constraint_mat_;
//Equality constraint will be done by two constraints due to the API limitation (>= & <=)
const size_t nbLine = A.rows() +
std::count(cstraints.vec_sign_.begin(), cstraints.vec_sign_.end(), LP_Constraints::LP_EQUAL);
// Define default lower and upper bound to [-inf, inf]
std::vector<double>
row_lb(nbLine, -si->getInfinity()), // the row lower bounds
row_ub(nbLine, si->getInfinity()); // the row upper bounds
std::unique_ptr<CoinPackedMatrix> matrix(new CoinPackedMatrix(false,0,0));
matrix->setDimensions(0, NUMVAR);
//-- Add row-wise constraint
size_t rowindex = 0;
for (int i=0; i < A.rows(); ++i)
{
std::vector<int> vec_colno;
std::vector<double> vec_value;
for (sRMat::InnerIterator it(A,i); it; ++it)
{
vec_colno.push_back(it.col());
vec_value.push_back(it.value());
}
if ( cstraints.vec_sign_[i] == LP_Constraints::LP_EQUAL ||
cstraints.vec_sign_[i] == LP_Constraints::LP_LESS_OR_EQUAL )
{
const int coef = 1;
row_ub[rowindex] = coef * cstraints.constraint_objective_(i);
matrix->appendRow( vec_colno.size(),
&vec_colno[0],
&vec_value[0] );
++rowindex;
}
if ( cstraints.vec_sign_[i] == LP_Constraints::LP_EQUAL ||
cstraints.vec_sign_[i] == LP_Constraints::LP_GREATER_OR_EQUAL )
{
const int coef = -1;
for (auto & iter_val : vec_value)
{
iter_val *= coef;
}
row_ub[rowindex] = coef * cstraints.constraint_objective_(i);
matrix->appendRow( vec_colno.size(),
&vec_colno[0],
&vec_value[0] );
++rowindex;
}
}
//-- Setup bounds for all the parameters
if (cstraints.vec_bounds_.size() == 1)
{
// Setup the same bound for all the parameters
std::fill(col_lb.begin(), col_lb.end(), cstraints.vec_bounds_[0].first);
std::fill(col_ub.begin(), col_ub.end(), cstraints.vec_bounds_[0].second);
}
else // each parameter have its own bounds
{
for (int i=0; i < this->nbParams_; ++i)
{
col_lb[i] = cstraints.vec_bounds_[i].first;
col_ub[i] = cstraints.vec_bounds_[i].second;
}
}
si->loadProblem(
*matrix,
&col_lb[0],
&col_ub[0],
cstraints.vec_cost_.empty() ? nullptr : &cstraints.vec_cost_[0],
&row_lb[0],
&row_ub[0]);
return true;
}