int main(int argc,char *argv[])
{
MSKrescodee r;
const MSKint32t numvar = 6,
numcon = 1;
MSKboundkeye bkc[] = { MSK_BK_FX };
double blc[] = { 1.0 };
double buc[] = { 1.0 };
MSKboundkeye bkx[] = {MSK_BK_LO,
MSK_BK_LO,
MSK_BK_LO,
MSK_BK_FR,
MSK_BK_FR,
MSK_BK_FR};
double blx[] = {0.0,
0.0,
0.0,
-MSK_INFINITY,
-MSK_INFINITY,
-MSK_INFINITY};
double bux[] = {+MSK_INFINITY,
+MSK_INFINITY,
+MSK_INFINITY,
+MSK_INFINITY,
+MSK_INFINITY,
+MSK_INFINITY};
double c[] = {0.0,
0.0,
0.0,
1.0,
1.0,
1.0};
MSKint32t aptrb[] = {0, 1, 2, 3, 3, 3},
aptre[] = {1, 2, 3, 3, 3, 3},
asub[] = {0, 0, 0, 0};
double aval[] = {1.0, 1.0, 2.0};
MSKint32t i,j,csub[3];
MSKenv_t env = NULL;
MSKtask_t task = NULL;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL);
if ( r==MSK_RES_OK )
{
/* Create the optimization task. */
r = MSK_maketask(env,numcon,numvar,&task);
if ( r==MSK_RES_OK )
{
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Append 'numcon' empty constraints.
The constraints will initially have no bounds. */
if ( r == MSK_RES_OK )
r = MSK_appendcons(task,numcon);
/* Append 'numvar' variables.
The variables will initially be fixed at zero (x=0). */
if ( r == MSK_RES_OK )
r = MSK_appendvars(task,numvar);
for(j=0; j<numvar && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective.*/
if(r == MSK_RES_OK)
r = MSK_putcj(task,j,c[j]);
/* Set the bounds on variable j.
blx[j] <= x_j <= bux[j] */
if(r == MSK_RES_OK)
r = MSK_putvarbound(task,
j, /* Index of variable.*/
bkx[j], /* Bound key.*/
blx[j], /* Numerical value of lower bound.*/
bux[j]); /* Numerical value of upper bound.*/
/* Input column j of A */
if(r == MSK_RES_OK)
r = MSK_putacol(task,
j, /* Variable (column) index.*/
aptre[j]-aptrb[j], /* Number of non-zeros in column j.*/
asub+aptrb[j], /* Pointer to row indexes of column j.*/
aval+aptrb[j]); /* Pointer to Values of column j.*/
}
/* Set the bounds on constraints.
for i=1, ...,numcon : blc[i] <= constraint i <= buc[i] */
for(i=0; i<numcon && r==MSK_RES_OK; ++i)
r = MSK_putconbound(task,
i, /* Index of constraint.*/
bkc[i], /* Bound key.*/
blc[i], /* Numerical value of lower bound.*/
buc[i]); /* Numerical value of upper bound.*/
if ( r==MSK_RES_OK )
{
/* Append the first cone. */
csub[0] = 3;
csub[1] = 0;
csub[2] = 1;
r = MSK_appendcone(task,
MSK_CT_QUAD,
0.0, /* For future use only, can be set to 0.0 */
3,
csub);
}
if ( r==MSK_RES_OK )
{
/* Append the second cone. */
csub[0] = 4;
csub[1] = 5;
csub[2] = 2;
r = MSK_appendcone(task,
MSK_CT_RQUAD,
0.0,
3,
csub);
}
if ( r==MSK_RES_OK )
{
MSKrescodee trmcode;
/* Run optimizer */
r = MSK_optimizetrm(task,&trmcode);
/* Print a summary containing information
about the solution for debugging purposes*/
MSK_solutionsummary (task,MSK_STREAM_MSG);
if ( r==MSK_RES_OK )
{
MSKsolstae solsta;
MSK_getsolsta (task,MSK_SOL_ITR,&solsta);
switch(solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
{
double *xx = NULL;
xx = calloc(numvar,sizeof(double));
if ( xx )
{
MSK_getxx (task,
MSK_SOL_ITR, /* Request the interior solution. */
xx);
printf("Optimal primal solution\n");
for(j=0; j<numvar; ++j)
printf("x[%d]: %e\n",j,xx[j]);
}
else
{
r = MSK_RES_ERR_SPACE;
}
free(xx);
}
break;
case MSK_SOL_STA_DUAL_INFEAS_CER:
case MSK_SOL_STA_PRIM_INFEAS_CER:
case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:
printf("Primal or dual infeasibility certificate found.\n");
break;
case MSK_SOL_STA_UNKNOWN:
printf("The status of the solution could not be determined.\n");
break;
default:
printf("Other solution status.");
break;
}
}
else
{
printf("Error while optimizing.\n");
}
}
if (r != MSK_RES_OK)
{
/* In case of an error print error code and description. */
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
printf("An error occurred while optimizing.\n");
MSK_getcodedesc (r,
symname,
desc);
printf("Error %s - '%s'\n",symname,desc);
}
}
/* Delete the task and the associated data. */
MSK_deletetask(&task);
}
/* Delete the environment and the associated data. */
MSK_deleteenv(&env);
return ( r );
} /* main */
template <typename _Scalar> typename MosekOpt<_Scalar>::ReturnType
MosekOpt<_Scalar>::optimize( std::vector<_Scalar> *x_out, OBJ_SENSE objective_sense )
{
if ( !this->_updated )
{
std::cerr << "[" << __func__ << "]: " << "Please call update() first!" << std::endl;
return MSK_RES_ERR_UNKNOWN;
}
// cache problem size
const int numvar = this->getVarCount();
// determine problem type
MSKobjsense_enum objsense = (objective_sense == OBJ_SENSE::MINIMIZE) ? MSK_OBJECTIVE_SENSE_MINIMIZE
: MSK_OBJECTIVE_SENSE_MAXIMIZE;
if ( MSK_RES_OK == _r )
_r = MSK_putobjsense( _task, objsense );
if ( MSK_RES_OK == _r )
{
// set termination sensitivity
MSKrescodee trmcode;
if ( (_r == MSK_RES_OK) && (this->getTolRelGap() > Scalar(0)) )
{
_r = MSK_putdouparam( _task, MSK_DPAR_MIO_TOL_REL_GAP, this->getTolRelGap() /*1e-10f*/ );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "setting MSK_DPAR_MIO_DISABLE_TERM_TIME to " << this->getTimeLimit() << " did NOT work!" << std::endl;
}
}
if ( (_r == MSK_RES_OK) && (this->getTimeLimit() > Scalar(0)) )
{
_r = MSK_putdouparam(_task, MSK_DPAR_MIO_DISABLE_TERM_TIME, this->getTimeLimit() );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "setting MSK_DPAR_MIO_DISABLE_TERM_TIME to " << this->getTimeLimit() << " did NOT work!" << std::endl;
}
_r = MSK_putdouparam(_task, MSK_DPAR_MIO_MAX_TIME, this->getTimeLimit()+Scalar(5) );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "setting MSK_DPAR_MIO_MAX_TIME to " << this->getTimeLimit()+Scalar(5) << " did NOT work!" << std::endl;
}
}
if (_r == MSK_RES_OK)
{
//_r = MSK_putintparam(_task, MSK_IPAR_OPTIMIZER, MSK_OPTIMIZER_MIXED_INT_CONIC );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "setting MSK_OPTIMIZER_MIXED_INT_CONIC did not work!" << std::endl;
}
}
if ( _r == MSK_RES_OK )
{
_r = MSK_putintparam( _task, MSK_IPAR_MIO_PRESOLVE_USE, MSK_ON );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "setting MSK_IPAR_MIO_PRESOLVE_USE did not work!" << std::endl;
}
}
if ( _r == MSK_RES_OK )
{
_r = MSK_putintparam( _task, MSK_IPAR_MIO_HEURISTIC_LEVEL, 5 );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "setting MSK_IPAR_MIO_HEURISTIC_LEVEL did not work!" << std::endl;
}
}
// Run optimizer
_r = MSK_optimizetrm( _task, &trmcode );
// Print a summary containing information about the solution for debugging purposes.
MSK_solutionsummary( _task, MSK_STREAM_LOG );
// save solution
double *xx = (double*) calloc(numvar,sizeof(double));
if ( _r == MSK_RES_OK )
{
MSKsolstae solsta;
if ( _r == MSK_RES_OK )
{
_r = MSK_getsolsta( _task, MSK_SOL_ITR, &solsta );
if ( _r != MSK_RES_OK )
{
_r = MSK_getsolsta( _task, MSK_SOL_ITG, &solsta );
}
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "neithter MSK_SOL_ITR, nor MSK_SOL_ITR worked" << std::endl;
}
}
switch ( solsta )
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
{
if ( xx )
{
MSK_getxx(_task,
MSK_SOL_ITR, /* Request the basic solution. */
xx);
_storeSolution( xx, numvar );
printf("Optimal primal solution\n");
}
else
{
_r = MSK_RES_ERR_SPACE;
}
break;
}
case MSK_SOL_STA_DUAL_INFEAS_CER:
case MSK_SOL_STA_PRIM_INFEAS_CER:
case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:
printf("Primal or dual infeasibility certificate found.\n");
break;
case MSK_SOL_STA_UNKNOWN:
{
MSKprostae prosta;
MSK_getprosta(_task,MSK_SOL_ITG,&prosta);
switch (prosta)
{
case MSK_PRO_STA_PRIM_INFEAS_OR_UNBOUNDED:
printf("Problem status Infeasible or unbounded\n");
break;
case MSK_PRO_STA_PRIM_INFEAS:
printf("Problem status Infeasible.\n");
break;
case MSK_PRO_STA_UNKNOWN:
printf("Problem status unknown.\n");
break;
default:
printf("Other problem status.");
break;
}
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
/* If the solutions status is unknown, print the termination code
indicating why the optimizer terminated prematurely. */
MSK_getcodedesc(trmcode,
symname,
desc);
printf("The solutuion status is unknown.\n");
printf("The optimizer terminitated with code: %s\n",symname);
break;
}
// ITG
//asdf todo: consolidate this last part:
case MSK_SOL_STA_INTEGER_OPTIMAL:
case MSK_SOL_STA_NEAR_INTEGER_OPTIMAL :
MSK_getxx(_task,
MSK_SOL_ITG, /* Request the integer solution. */
xx);
_storeSolution( xx, numvar );
printf("Optimal integer solution.\n");
break;
case MSK_SOL_STA_PRIM_FEAS:
/* A feasible but not necessarily optimal solution was located. */
MSK_getxx(_task,MSK_SOL_ITG,xx);
_storeSolution( xx, numvar );
printf("Feasible solution.\n");
break;
default:
std::cerr << "[" << __func__ << "]: " << "unknown code " << (int)solsta << std::endl;
break;
}
if ( xx ) { free(xx); xx = NULL; }
}
}
if ( MSK_RES_OK != _r )
{
/* In case of an error print error code and description. */
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
printf("An error occurred while optimizing.\n");
MSK_getcodedesc( _r,
symname,
desc);
printf("Error %s - '%s'\n",symname,desc);
}
else
{
// output
if ( x_out )
{
x_out->clear();
x_out->reserve( this->_x.size() );
for ( int j=0; j < this->_x.size(); ++j )
{
x_out->push_back( this->_x[j] );
}
}
}
return _r;
} // ...MosekOpt::optimize()
int main(int argc,char *argv[])
{
const MSKint32t numvar = 2,
numcon = 2;
double c[] = { 1.0, 0.64 };
MSKboundkeye bkc[] = { MSK_BK_UP, MSK_BK_LO };
double blc[] = { -MSK_INFINITY,-4.0 };
double buc[] = { 250.0, MSK_INFINITY };
MSKboundkeye bkx[] = { MSK_BK_LO, MSK_BK_LO };
double blx[] = { 0.0, 0.0 };
double bux[] = { MSK_INFINITY, MSK_INFINITY };
MSKint32t aptrb[] = { 0, 2 },
aptre[] = { 2, 4 },
asub[] = { 0, 1, 0, 1 };
double aval[] = { 50.0, 3.0, 31.0, -2.0 };
MSKint32t i,j;
MSKenv_t env = NULL;
MSKtask_t task = NULL;
MSKrescodee r;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL);
/* Check if return code is ok. */
if ( r==MSK_RES_OK )
{
/* Create the optimization task. */
r = MSK_maketask(env,0,0,&task);
if ( r==MSK_RES_OK )
r = MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Append 'numcon' empty constraints.
The constraints will initially have no bounds. */
if ( r == MSK_RES_OK )
r = MSK_appendcons(task,numcon);
/* Append 'numvar' variables.
The variables will initially be fixed at zero (x=0). */
if ( r == MSK_RES_OK )
r = MSK_appendvars(task,numvar);
/* Optionally add a constant term to the objective. */
if ( r ==MSK_RES_OK )
r = MSK_putcfix(task,0.0);
for(j=0; j<numvar && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective.*/
if(r == MSK_RES_OK)
r = MSK_putcj(task,j,c[j]);
/* Set the bounds on variable j.
blx[j] <= x_j <= bux[j] */
if(r == MSK_RES_OK)
r = MSK_putvarbound(task,
j, /* Index of variable.*/
bkx[j], /* Bound key.*/
blx[j], /* Numerical value of lower bound.*/
bux[j]); /* Numerical value of upper bound.*/
/* Input column j of A */
if(r == MSK_RES_OK)
r = MSK_putacol(task,
j, /* Variable (column) index.*/
aptre[j]-aptrb[j], /* Number of non-zeros in column j.*/
asub+aptrb[j], /* Pointer to row indexes of column j.*/
aval+aptrb[j]); /* Pointer to Values of column j.*/
}
/* Set the bounds on constraints.
for i=1, ...,numcon : blc[i] <= constraint i <= buc[i] */
for(i=0; i<numcon && r==MSK_RES_OK; ++i)
r = MSK_putconbound(task,
i, /* Index of constraint.*/
bkc[i], /* Bound key.*/
blc[i], /* Numerical value of lower bound.*/
buc[i]); /* Numerical value of upper bound.*/
/* Specify integer variables. */
for(j=0; j<numvar && r == MSK_RES_OK; ++j)
r = MSK_putvartype(task,j,MSK_VAR_TYPE_INT);
if ( r==MSK_RES_OK )
r = MSK_putobjsense(task,
MSK_OBJECTIVE_SENSE_MAXIMIZE);
if ( r==MSK_RES_OK )
{
MSKrescodee trmcode;
/* Run optimizer */
r = MSK_optimizetrm(task,&trmcode);
/* Print a summary containing information
about the solution for debugging purposes*/
MSK_solutionsummary (task,MSK_STREAM_MSG);
if ( r==MSK_RES_OK )
{
MSKint32t j;
MSKsolstae solsta;
double *xx = NULL;
MSK_getsolsta (task,MSK_SOL_ITG,&solsta);
xx = calloc(numvar,sizeof(double));
if ( xx )
{
switch(solsta)
{
case MSK_SOL_STA_INTEGER_OPTIMAL:
case MSK_SOL_STA_NEAR_INTEGER_OPTIMAL :
MSK_getxx(task,
MSK_SOL_ITG, /* Request the integer solution. */
xx);
printf("Optimal solution.\n");
for(j=0; j<numvar; ++j)
printf("x[%d]: %e\n",j,xx[j]);
break;
case MSK_SOL_STA_PRIM_FEAS:
/* A feasible but not necessarily optimal solution was located. */
MSK_getxx(task,MSK_SOL_ITG,xx);
printf("Feasible solution.\n");
for(j=0; j<numvar; ++j)
printf("x[%d]: %e\n",j,xx[j]);
break;
case MSK_SOL_STA_UNKNOWN:
{
MSKprostae prosta;
MSK_getprosta(task,MSK_SOL_ITG,&prosta);
switch (prosta)
{
case MSK_PRO_STA_PRIM_INFEAS_OR_UNBOUNDED:
printf("Problem status Infeasible or unbounded\n");
break;
case MSK_PRO_STA_PRIM_INFEAS:
printf("Problem status Infeasible.\n");
break;
case MSK_PRO_STA_UNKNOWN:
printf("Problem status unknown.\n");
break;
default:
printf("Other problem status.");
break;
}
}
break;
default:
printf("Other solution status.");
break;
}
}
else
{
r = MSK_RES_ERR_SPACE;
}
free(xx);
}
}
if (r != MSK_RES_OK)
{
/* In case of an error print error code and description. */
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
printf("An error occurred while optimizing.\n");
MSK_getcodedesc (r,
symname,
desc);
printf("Error %s - '%s'\n",symname,desc);
}
MSK_deletetask(&task);
}
MSK_deleteenv(&env);
printf("Return code: %d.\n",r);
return ( r );
} /* main */
int do_thing()
{
const MSKint32t numvar = 4,
numcon = 3;
double c[] = {3.0, 1.0, 5.0, 1.0};
/* Below is the sparse representation of the A
matrix stored by column. */
MSKint32t aptrb[] = {0, 2, 5, 7},
aptre[] = {2, 5, 7, 9},
asub[] = { 0, 1,
0, 1, 2,
0, 1,
1, 2};
double aval[] = { 3.0, 2.0,
1.0, 1.0, 2.0,
2.0, 3.0,
1.0, 3.0};
/* Bounds on constraints. */
MSKboundkeye bkc[] = {MSK_BK_FX, MSK_BK_LO, MSK_BK_UP };
double blc[] = {30.0, 15.0, -MSK_INFINITY};
double buc[] = {30.0, +MSK_INFINITY, 25.0 };
/* Bounds on variables. */
MSKboundkeye bkx[] = {MSK_BK_LO, MSK_BK_RA, MSK_BK_LO, MSK_BK_LO };
double blx[] = {0.0, 0.0, 0.0, 0.0 };
double bux[] = {+MSK_INFINITY, 10.0, +MSK_INFINITY, +MSK_INFINITY };
MSKenv_t env = NULL;
MSKtask_t task = NULL;
MSKrescodee r;
MSKint32t i,j;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL);
if ( r==MSK_RES_OK )
{
/* Create the optimization task. */
r = MSK_maketask(env,numcon,numvar,&task);
/* Directs the log task stream to the 'printstr' function. */
if ( r==MSK_RES_OK )
r = MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Append 'numcon' empty constraints.
The constraints will initially have no bounds. */
if ( r == MSK_RES_OK )
r = MSK_appendcons(task,numcon);
/* Append 'numvar' variables.
The variables will initially be fixed at zero (x=0). */
if ( r == MSK_RES_OK )
r = MSK_appendvars(task,numvar);
for(j=0; j<numvar && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective.*/
if(r == MSK_RES_OK)
r = MSK_putcj(task,j,c[j]);
/* Set the bounds on variable j.
blx[j] <= x_j <= bux[j] */
if(r == MSK_RES_OK)
r = MSK_putvarbound(task,
j, /* Index of variable.*/
bkx[j], /* Bound key.*/
blx[j], /* Numerical value of lower bound.*/
bux[j]); /* Numerical value of upper bound.*/
/* Input column j of A */
if(r == MSK_RES_OK)
r = MSK_putacol(task,
j, /* Variable (column) index.*/
aptre[j]-aptrb[j], /* Number of non-zeros in column j.*/
asub+aptrb[j], /* Pointer to row indexes of column j.*/
aval+aptrb[j]); /* Pointer to Values of column j.*/
}
/* Set the bounds on constraints.
for i=1, ...,numcon : blc[i] <= constraint i <= buc[i] */
for(i=0; i<numcon && r==MSK_RES_OK; ++i)
r = MSK_putconbound(task,
i, /* Index of constraint.*/
bkc[i], /* Bound key.*/
blc[i], /* Numerical value of lower bound.*/
buc[i]); /* Numerical value of upper bound.*/
/* Maximize objective function. */
if (r == MSK_RES_OK)
r = MSK_putobjsense(task, MSK_OBJECTIVE_SENSE_MAXIMIZE);
if ( r==MSK_RES_OK )
{
MSKrescodee trmcode;
/* Run optimizer */
r = MSK_optimizetrm(task,&trmcode);
/* Print a summary containing information
about the solution for debugging purposes. */
MSK_solutionsummary (task,MSK_STREAM_LOG);
if ( r==MSK_RES_OK )
{
MSKsolstae solsta;
if ( r==MSK_RES_OK )
r = MSK_getsolsta (task,
MSK_SOL_BAS,
&solsta);
switch(solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
{
double *xx = (double*) calloc(numvar,sizeof(double));
if ( xx )
{
MSK_getxx(task,
MSK_SOL_BAS, /* Request the basic solution. */
xx);
printf("Optimal primal solution\n");
for(j=0; j<numvar; ++j)
printf("x[%d]: %e\n",j,xx[j]);
free(xx);
}
else
r = MSK_RES_ERR_SPACE;
break;
}
case MSK_SOL_STA_DUAL_INFEAS_CER:
case MSK_SOL_STA_PRIM_INFEAS_CER:
case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:
printf("Primal or dual infeasibility certificate found.\n");
break;
case MSK_SOL_STA_UNKNOWN:
{
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
/* If the solutions status is unknown, print the termination code
indicating why the optimizer terminated prematurely. */
MSK_getcodedesc(trmcode,
symname,
desc);
printf("The solution status is unknown.\n");
printf("The optimizer terminitated with code: %s\n",symname);
break;
}
default:
printf("Other solution status.\n");
break;
}
}
}
if (r != MSK_RES_OK)
{
/* In case of an error print error code and description. */
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
printf("An error occurred while optimizing.\n");
MSK_getcodedesc (r,
symname,
desc);
printf("Error %s - '%s'\n",symname,desc);
}
/* Delete the task and the associated data. */
MSK_deletetask(&task);
}
/* Delete the environment and the associated data. */
MSK_deleteenv(&env);
return r;
}