void SDPSDQPInternal::init() { // Initialize the base classes SdqpSolverInternal::init(); cholesky_ = LinearSolver("csparsecholesky", st_[SDQP_STRUCT_H]); cholesky_.init(); MX g_socp = MX::sym("x", cholesky_.getFactorizationSparsity(true)); MX h_socp = MX::sym("h", n_); MX f_socp = sqrt(inner_prod(h_socp, h_socp)); MX en_socp = 0.5/f_socp; MX f_sdqp = MX::sym("f", input(SDQP_SOLVER_F).sparsity()); MX g_sdqp = MX::sym("g", input(SDQP_SOLVER_G).sparsity()); std::vector<MX> fi(n_+1); MX znp = MX::sparse(n_+1, n_+1); for (int k=0;k<n_;++k) { MX gk = vertcat(g_socp(ALL, k), DMatrix::sparse(1, 1)); MX fk = -blockcat(znp, gk, gk.T(), DMatrix::sparse(1, 1)); // TODO(Joel): replace with ALL fi.push_back(blkdiag(f_sdqp(ALL, Slice(f_sdqp.size1()*k, f_sdqp.size1()*(k+1))), fk)); } MX fin = en_socp*DMatrix::eye(n_+2); fin(n_, n_+1) = en_socp; fin(n_+1, n_) = en_socp; fi.push_back(blkdiag(DMatrix::sparse(f_sdqp.size1(), f_sdqp.size1()), -fin)); MX h0 = vertcat(h_socp, DMatrix::sparse(1, 1)); MX g = blockcat(f_socp*DMatrix::eye(n_+1), h0, h0.T(), f_socp); g = blkdiag(g_sdqp, g); IOScheme mappingIn("g_socp", "h_socp", "f_sdqp", "g_sdqp"); IOScheme mappingOut("f", "g"); mapping_ = MXFunction(mappingIn("g_socp", g_socp, "h_socp", h_socp, "f_sdqp", f_sdqp, "g_sdqp", g_sdqp), mappingOut("f", horzcat(fi), "g", g)); mapping_.init(); // Create an sdpsolver instance std::string sdpsolver_name = getOption("sdp_solver"); sdpsolver_ = SdpSolver(sdpsolver_name, sdpStruct("g", mapping_.output("g").sparsity(), "f", mapping_.output("f").sparsity(), "a", horzcat(input(SDQP_SOLVER_A).sparsity(), Sparsity::sparse(nc_, 1)))); if (hasSetOption("sdp_solver_options")) { sdpsolver_.setOption(getOption("sdp_solver_options")); } // Initialize the SDP solver sdpsolver_.init(); sdpsolver_.input(SDP_SOLVER_C).at(n_)=1; // Output arguments setNumOutputs(SDQP_SOLVER_NUM_OUT); output(SDQP_SOLVER_X) = DMatrix::zeros(n_, 1); std::vector<int> r = range(input(SDQP_SOLVER_G).size1()); output(SDQP_SOLVER_P) = sdpsolver_.output(SDP_SOLVER_P).isEmpty() ? DMatrix() : sdpsolver_.output(SDP_SOLVER_P)(r, r); output(SDQP_SOLVER_DUAL) = sdpsolver_.output(SDP_SOLVER_DUAL).isEmpty() ? DMatrix() : sdpsolver_.output(SDP_SOLVER_DUAL)(r, r); output(SDQP_SOLVER_COST) = 0.0; output(SDQP_SOLVER_DUAL_COST) = 0.0; output(SDQP_SOLVER_LAM_X) = DMatrix::zeros(n_, 1); output(SDQP_SOLVER_LAM_A) = DMatrix::zeros(nc_, 1); }
void SdqpToSdp::init() { // Initialize the base classes SdqpSolverInternal::init(); cholesky_ = LinearSolver("cholesky", "csparsecholesky", st_[SDQP_STRUCT_H]); MX g_socp = MX::sym("x", cholesky_.getFactorizationSparsity(true)); MX h_socp = MX::sym("h", n_); MX f_socp = sqrt(inner_prod(h_socp, h_socp)); MX en_socp = 0.5/f_socp; MX f_sdqp = MX::sym("f", input(SDQP_SOLVER_F).sparsity()); MX g_sdqp = MX::sym("g", input(SDQP_SOLVER_G).sparsity()); std::vector<MX> fi(n_+1); MX znp = MX(n_+1, n_+1); for (int k=0;k<n_;++k) { MX gk = vertcat(g_socp(ALL, k), MX(1, 1)); MX fk = -blockcat(znp, gk, gk.T(), MX(1, 1)); // TODO(Joel): replace with ALL fi.push_back(diagcat(f_sdqp(ALL, Slice(f_sdqp.size1()*k, f_sdqp.size1()*(k+1))), fk)); } MX fin = en_socp*DMatrix::eye(n_+2); fin(n_, n_+1) = en_socp; fin(n_+1, n_) = en_socp; fi.push_back(diagcat(DMatrix(f_sdqp.size1(), f_sdqp.size1()), -fin)); MX h0 = vertcat(h_socp, DMatrix(1, 1)); MX g = blockcat(f_socp*DMatrix::eye(n_+1), h0, h0.T(), f_socp); g = diagcat(g_sdqp, g); Dict opts; opts["input_scheme"] = IOScheme("g_socp", "h_socp", "f_sdqp", "g_sdqp"); opts["output_scheme"] = IOScheme("f", "g"); mapping_ = MXFunction("mapping", make_vector(g_socp, h_socp, f_sdqp, g_sdqp), make_vector(horzcat(fi), g), opts); Dict options; if (hasSetOption(optionsname())) options = getOption(optionsname()); // Create an SdpSolver instance solver_ = SdpSolver("sdpsolver", getOption(solvername()), make_map("g", mapping_.output("g").sparsity(), "f", mapping_.output("f").sparsity(), "a", horzcat(input(SDQP_SOLVER_A).sparsity(), Sparsity(nc_, 1))), options); solver_.input(SDP_SOLVER_C).at(n_)=1; // Output arguments obuf_.resize(SDQP_SOLVER_NUM_OUT); output(SDQP_SOLVER_X) = DMatrix::zeros(n_, 1); std::vector<int> r = range(input(SDQP_SOLVER_G).size1()); output(SDQP_SOLVER_P) = solver_.output(SDP_SOLVER_P).isempty() ? DMatrix() : solver_.output(SDP_SOLVER_P)(r, r); output(SDQP_SOLVER_DUAL) = solver_.output(SDP_SOLVER_DUAL).isempty() ? DMatrix() : solver_.output(SDP_SOLVER_DUAL)(r, r); output(SDQP_SOLVER_COST) = 0.0; output(SDQP_SOLVER_DUAL_COST) = 0.0; output(SDQP_SOLVER_LAM_X) = DMatrix::zeros(n_, 1); output(SDQP_SOLVER_LAM_A) = DMatrix::zeros(nc_, 1); }