int mosekNNSolverWrapper(const Matrix &Q, const Matrix &Eq, const Matrix &b,
const Matrix &InEq, const Matrix &ib,
const Matrix &lowerBounds, const Matrix &upperBounds,
Matrix &sol, double *objVal, MosekObjectiveType objType)
{
DBGP("Mosek QP Wrapper started");
MSKrescodee r;
MSKtask_t task = NULL;
// Get the only instance of the mosek environment.
MSKenv_t env = getMosekEnv();
// Create the optimization task.
r = MSK_maketask(env, 0, 0, &task);
if (r != MSK_RES_OK) {
DBGA("Failed to create optimization task");
return -1;
}
MSK_linkfunctotaskstream(task, MSK_STREAM_LOG, NULL, printstr);
//---------------------------------------
//start inputing the problem
//prespecify number of variables to make inputting faster
r = MSK_putmaxnumvar(task, sol.rows());
//number of constraints (both equality and inequality)
if (r == MSK_RES_OK) {
r = MSK_putmaxnumcon(task, Eq.rows() + InEq.rows());
}
//make sure default value is 0 for sparse matrices
assert(Q.getDefault() == 0.0);
assert(Eq.getDefault() == 0.0);
assert(InEq.getDefault() == 0.0);
//number of non-zero entries in A
if (r == MSK_RES_OK) {
r = MSK_putmaxnumanz(task, Eq.numElements() + InEq.numElements());
}
if (r != MSK_RES_OK) {
DBGA("Failed to input variables");
MSK_deletetask(&task);
return -1;
}
//solver is sensitive to numerical problems. Scale the problem down
//we will use this value to scale down the right hand side of equality
//and inequality constraints and lower and upper bounds
//after solving, we must scale back up the solution and the value of the
//objective
double scale = b.absMax();
if (scale < 1.0e2) {
scale = 1.0;
} else {
DBGP("Mosek solver: scaling problem down by " << scale);
}
//---------------------------------------
//insert the actual variables and constraints
//append the variables
MSK_append(task, MSK_ACC_VAR, sol.rows());
//append the constraints.
MSK_append(task, MSK_ACC_CON, Eq.rows() + InEq.rows());
int i, j;
double value;
if (objType == MOSEK_OBJ_QP) {
//quadratic optimization objective
//the quadratic term
Q.sequentialReset();
while (Q.nextSequentialElement(i, j, value)) {
MSK_putqobjij(task, i, j, 2.0 * value);
}
} else if (objType == MOSEK_OBJ_LP) {
//linear objective
for (j = 0; j < Q.cols(); j++) {
if (fabs(Q.elem(0, j)) > 1.0e-5) {
MSK_putcj(task, j, Q.elem(0, j));
}
}
} else {
assert(0);
}
//variable bounds
assert(sol.rows() == lowerBounds.rows());
assert(sol.rows() == upperBounds.rows());
for (i = 0; i < sol.rows(); i++) {
if (lowerBounds.elem(i, 0) >= upperBounds.elem(i, 0)) {
if (lowerBounds.elem(i, 0) > upperBounds.elem(i, 0)) {
assert(0);
}
if (lowerBounds.elem(i, 0) == -std::numeric_limits<double>::max()) {
assert(0);
}
if (upperBounds.elem(i, 0) == std::numeric_limits<double>::max()) {
assert(0);
}
//fixed variable
DBGP(i << ": fixed " << lowerBounds.elem(i, 0) / scale);
MSK_putbound(task, MSK_ACC_VAR, i, MSK_BK_FX,
lowerBounds.elem(i, 0) / scale, upperBounds.elem(i, 0) / scale);
} else if (lowerBounds.elem(i, 0) != -std::numeric_limits<double>::max()) {
//finite lower bound
if (upperBounds.elem(i, 0) != std::numeric_limits<double>::max()) {
//two finite bounds
DBGP(i << ": finite bounds " << lowerBounds.elem(i, 0) / scale
<< " " << upperBounds.elem(i, 0) / scale);
MSK_putbound(task, MSK_ACC_VAR, i, MSK_BK_RA,
lowerBounds.elem(i, 0) / scale, upperBounds.elem(i, 0) / scale);
} else {
//lower bound
DBGP(i << ": lower bound " << lowerBounds.elem(i, 0) / scale);
MSK_putbound(task, MSK_ACC_VAR, i, MSK_BK_LO,
lowerBounds.elem(i, 0) / scale, +MSK_INFINITY);
}
} else {
//infinite lower bound
if (upperBounds.elem(i, 0) != std::numeric_limits<double>::max()) {
//upper bound
DBGP(i << ": upper bound " << upperBounds.elem(i, 0) / scale);
MSK_putbound(task, MSK_ACC_VAR, i, MSK_BK_UP,
-MSK_INFINITY, upperBounds.elem(i, 0) / scale);
} else {
//unbounded
DBGP(i << ": unbounded");
MSK_putbound(task, MSK_ACC_VAR, i, MSK_BK_FR,
-MSK_INFINITY, +MSK_INFINITY);
}
}
}
//constraints and constraint bounds
//equality constraints
Eq.sequentialReset();
while (Eq.nextSequentialElement(i, j, value)) {
MSK_putaij(task, i, j, value);
}
for (i = 0; i < Eq.rows(); i++) {
MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_FX, b.elem(i, 0) / scale, b.elem(i, 0) / scale);
}
//inequality constraints, <=
InEq.sequentialReset();
while (InEq.nextSequentialElement(i, j, value)) {
int eqi = i + Eq.rows();
MSK_putaij(task, eqi, j, value);
}
for (i = 0; i < InEq.rows(); i++) {
int eqi = i + Eq.rows();
MSK_putbound(task, MSK_ACC_CON, eqi, MSK_BK_UP, -MSK_INFINITY, ib.elem(i, 0) / scale);
}
//specify objective: minimize
MSK_putobjsense(task, MSK_OBJECTIVE_SENSE_MINIMIZE);
//give it 800 iterations, twice the default.
MSK_putintparam(task, MSK_IPAR_INTPNT_MAX_ITERATIONS, 800);
//----------------------------------
//solve the thing
DBGP("Optimization started");
r = MSK_optimize(task);
DBGP("Optimization returns");
//write problem to file
/*
static int fileNum = 0;
if (r != MSK_RES_OK) {
char filename[50];
sprintf(filename,"mosek_error_%d_%d.opf",fileNum++, r);
MSK_writedata(task, filename);
FILE *fp = fopen(filename,"a");
fprintf(fp,"\n\nEquality matrix:\n");
Eq.print(fp);
fclose(fp);
}
*/
if (r != MSK_RES_OK) {
DBGA("Mosek optimization call failed, error code " << r);
MSK_deletetask(&task);
return -1;
}
DBGP("Optimization complete");
//debug code, find out number of iterations used
//int iter;
//MSK_getintinf(task, MSK_IINF_INTPNT_ITER, &iter);
//DBGA("Iterations used: " << iter);
//find out what kind of solution we have
MSKprostae pst;
MSKsolstae sst;
MSK_getsolutionstatus(task, MSK_SOL_ITR, &pst, &sst);
int result;
if (sst == MSK_SOL_STA_OPTIMAL || sst == MSK_SOL_STA_NEAR_OPTIMAL) {
//success, we have an optimal problem
if (sst == MSK_SOL_STA_OPTIMAL) {DBGP("QP solution is optimal");}
else {DBGA("QP solution is *nearly* optimal");}
result = 0;
} else if (sst == MSK_SOL_STA_PRIM_INFEAS_CER) {
//unfeasible problem
DBGP("Mosek optimization: primal infeasible");
result = 1;
} else if (sst == MSK_SOL_STA_DUAL_INFEAS_CER) {
//unfeasible problem
DBGA("Mosek optimization: dual infeasible (primal unbounded?)");
result = 1;
} else if (sst == MSK_SOL_STA_PRIM_AND_DUAL_FEAS) {
//i think this means feasible problem, but unbounded solution
//this shouldn't happen as our Q is positive semidefinite
DBGA("QP solution is prim and dual feasible, but not optimal");
DBGA("Is Q positive semidefinite?");
result = -1;
} else {
//unknown return status
DBGA("QP fails with solution status " << sst << " and problem status " << pst);
result = -1;
}
//MSK_SOL_STA_DUAL_FEAS;
//retrieve the solutions
if (!result) {
//get the value of the objective function
MSKrealt obj, foo;
MSK_getsolutioninf(task, MSK_SOL_ITR, &pst, &sst, &obj,
&foo, &foo, &foo, &foo, &foo, &foo, &foo, &foo);
if (objType == MOSEK_OBJ_QP) {
*objVal = obj * scale * scale;
} else if (objType == MOSEK_OBJ_LP) {
*objVal = obj * scale;
} else {
assert(0);
}
double *xx = new double[sol.rows()];
MSK_getsolutionslice(task, MSK_SOL_ITR, MSK_SOL_ITEM_XX,
0, sol.rows(), xx);
for (i = 0; i < sol.rows(); i++) {
sol.elem(i, 0) = scale * xx[i];
DBGP("x" << i << ": " << xx[i]);
}
delete [] xx;
}
MSK_deletetask(&task);
return result;
}
MSKrescodee put_a(MSKtask_t task,
double *aval,
MSKidxt *asub,
MSKidxt *ptrb,
MSKidxt *ptre,
int numvar,
MSKidxt *basis
)
{
MSKrescodee r = MSK_RES_OK;
int i;
MSKstakeye *skx = NULL , *skc = NULL;
skx = (MSKstakeye *) calloc(numvar,sizeof(MSKstakeye));
if (skx == NULL && numvar)
r = MSK_RES_ERR_SPACE;
skc = (MSKstakeye *) calloc(numvar,sizeof(MSKstakeye));
if (skc == NULL && numvar)
r = MSK_RES_ERR_SPACE;
for (i=0;i<numvar && r == MSK_RES_OK;++i)
{
skx[i] = MSK_SK_BAS;
skc[i] = MSK_SK_FIX;
}
/* Create a coefficient matrix and right hand
side with the data from the linear system */
if (r == MSK_RES_OK)
r = MSK_append(task,MSK_ACC_VAR,numvar);
if (r == MSK_RES_OK)
r = MSK_append(task,MSK_ACC_CON,numvar);
for (i=0;i<numvar && r == MSK_RES_OK;++i)
r = MSK_putavec(task,MSK_ACC_VAR,i,ptre[i]-ptrb[i],asub+ptrb[i],aval+ptrb[i]);
for (i=0;i<numvar && r == MSK_RES_OK;++i)
r = MSK_putbound(task,MSK_ACC_CON,i,MSK_BK_FX,0,0);
for (i=0;i<numvar && r == MSK_RES_OK;++i)
r = MSK_putbound(task,MSK_ACC_VAR,i,MSK_BK_FR,-MSK_INFINITY,MSK_INFINITY);
/* Allocate space for the solution and set status to unknown */
if (r == MSK_RES_OK)
{
r = MSK_makesolutionstatusunknown(task, MSK_SOL_BAS);
}
/* Define a basic solution by specifying
status keys for variables & constraints. */
for (i=0; i<numvar && r==MSK_RES_OK;++i)
r = MSK_putsolutioni (
task,
MSK_ACC_VAR,
i,
MSK_SOL_BAS,
skx[i],
0.0,
0.0,
0.0,
0.0);
for (i=0;i<numvar && r == MSK_RES_OK;++i)
r = MSK_putsolutioni (
task,
MSK_ACC_CON,
i,
MSK_SOL_BAS,
skc[i],
0.0,
0.0,
0.0,
0.0);
if (r == MSK_RES_OK)
r = MSK_initbasissolve(task,basis);
free (skx);
free (skc);
return ( r );
}
int main(int argc,char *argv[])
{
MSKrescodee r;
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_LO,
MSK_BK_FR,
MSK_BK_FR};
double blx[] = {0.0,
0.0,
0.0,
0.0,
-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,
0.0,
1.0,
1.0};
MSKintt aptrb[] = {0, 1, 2, 3, 5, 5};
MSKintt aptre[] = {1, 2, 3, 4, 5, 5};
double aval[] = {1.0, 1.0, 1.0, 1.0};
MSKidxt asub[] = {0, 0, 0, 0};
MSKidxt i,j,csub[3];
double xx[NUMVAR];
MSKenv_t env;
MSKtask_t task;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL,NULL,NULL,NULL);
/* Check if return code is ok. */
if ( r==MSK_RES_OK )
{
/* Directs the log stream to the
'printstr' function. */
MSK_linkfunctoenvstream(env,MSK_STREAM_LOG,NULL,printstr);
}
/* Initialize the environment. */
if ( r==MSK_RES_OK )
r = MSK_initenv(env);
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);
/* 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);
/* 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_putbound(task,
MSK_ACC_VAR, /* Put bounds on variables.*/
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_putavec(task,
MSK_ACC_VAR, /* Input columns of A.*/
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_putbound(task,
MSK_ACC_CON, /* Put bounds on constraints.*/
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] = 4;
csub[1] = 0;
csub[2] = 2;
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] = 5;
csub[1] = 1;
csub[2] = 3;
r = MSK_appendcone(task,
MSK_CT_QUAD,
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_LOG);
if ( r==MSK_RES_OK )
{
MSKsolstae solsta;
MSKidxt j;
MSK_getsolutionstatus (task,
MSK_SOL_ITR,
NULL,
&solsta);
switch(solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
MSK_getsolutionslice(task,
MSK_SOL_ITR, /* Request the interior solution. */
MSK_SOL_ITEM_XX,/* Which part of solution. */
0, /* Index of first variable. */
NUMVAR, /* Index of last variable+1. */
xx);
printf("Optimal primal solution\n");
for(j=0; j<NUMVAR; ++j)
printf("x[%d]: %e\n",j,xx[j]);
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 */
int main(int argc,char *argv[])
{
MSKrescodee r;
MSKidxt i,j;
double c[] = {3.0, 1.0, 5.0, 1.0};
/* Below is the sparse representation of the A
matrix stored by row. */
MSKlidxt aptrb[] = {0, 3, 7};
MSKlidxt aptre[] = {3, 7, 9};
MSKidxt asub[] = { 0,1,2,
0,1,2,3,
1,3};
double aval[] = { 3.0, 1.0, 2.0,
2.0, 1.0, 3.0, 1.0,
2.0, 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 };
double xx[NUMVAR];
MSKenv_t env = NULL;
MSKtask_t task = NULL;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL,NULL,NULL,NULL);
/* Directs the env log stream to the 'printstr' function. */
if ( r==MSK_RES_OK )
MSK_linkfunctoenvstream(env,MSK_STREAM_LOG,NULL,printstr);
/* Initialize the environment. */
if ( r==MSK_RES_OK )
r = MSK_initenv(env);
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 )
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* 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);
/* 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_putbound(task,
MSK_ACC_VAR, /* Put bounds on variables.*/
j, /* Index of variable.*/
bkx[j], /* Bound key.*/
blx[j], /* Numerical value of lower bound.*/
bux[j]); /* Numerical value of upper bound.*/
}
/* 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_putbound(task,
MSK_ACC_CON, /* Put bounds on constraints.*/
i, /* Index of constraint.*/
bkc[i], /* Bound key.*/
blc[i], /* Numerical value of lower bound.*/
buc[i]); /* Numerical value of upper bound.*/
/* Input column j of A */
if(r == MSK_RES_OK)
r = MSK_putavec(task,
MSK_ACC_CON, /* Input row of A.*/
i, /* Row index.*/
aptre[i]-aptrb[i], /* Number of non-zeros in row i.*/
asub+aptrb[i], /* Pointer to column indexes of row i.*/
aval+aptrb[i]); /* Pointer to Values of row i.*/
}
/* 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;
int j;
MSK_getsolutionstatus (task,
MSK_SOL_BAS,
NULL,
&solsta);
switch(solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
MSK_getsolutionslice(task,
MSK_SOL_BAS, /* Request the basic solution. */
MSK_SOL_ITEM_XX,/* Which part of solution. */
0, /* Index of first variable. */
NUMVAR, /* Index of last variable+1. */
xx);
printf("Optimal primal solution\n");
for(j=0; j<NUMVAR; ++j)
printf("x[%d]: %e\n",j,xx[j]);
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);
}
MSK_deletetask(&task);
MSK_deleteenv(&env);
}
return r;
}
bool QPSolver::solve(VectorXd& sol)
{
bool ret = false;
#ifdef _WIN32
VectorXd solution;
preSolve();
convertMatrixVectorFormat();
MSKenv_t env;
MSKtask_t task;
MSKrescodee r;
r = MSK_makeenv(&env, NULL, NULL, NULL, NULL);
if (r == MSK_RES_OK)
{
r = MSK_linkfunctoenvstream(env, MSK_STREAM_LOG, NULL, printstr);
}
r = MSK_initenv(env);
if (r == MSK_RES_OK)
{
r = MSK_maketask(env, mNumCon, mNumVar, &task);
if (r == MSK_RES_OK)
{
r = MSK_linkfunctotaskstream(task, MSK_STREAM_LOG, NULL, printstr);
}
if (r == MSK_RES_OK)
r = MSK_putmaxnumvar(task, mNumVar);
if (r == MSK_RES_OK)
r = MSK_putmaxnumcon(task, mNumCon);
/* Append ¡¯NUMCON ¡¯ empty constraints .
The constraints will initially have no bounds . */
if (r == MSK_RES_OK)
r = MSK_append(task, MSK_ACC_CON, mNumCon);
/* 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, mNumVar);
/* Optionally add a constant term to the objective . */
if (r == MSK_RES_OK)
r = MSK_putcfix(task, mConstant);
for (int j = 0; j < mNumVar && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective .*/
if (r == MSK_RES_OK)
r = MSK_putcj(task, j, mCU[j]);
/* Set the bounds on variable j.*/
if (r == MSK_RES_OK)
{
if (mbLowerBounded[j] && mbUpperBounded[j])
{
if (mlb[j] == mub[j])
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_FX, mlb[j], mub[j]);
else
{
CHECK(mlb[j] < mub[j]);
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_RA, mlb[j], mub[j]);
}
}
else if (mbLowerBounded[j])
{
r = MSK_putbound(task, MSK_ACC_VAR, j , MSK_BK_LO, mlb[j], +MSK_INFINITY);
}
else if (mbUpperBounded[j])
{
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_UP, -MSK_INFINITY, mub[j]);
}
else
{
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_FR, -MSK_INFINITY, +MSK_INFINITY);
}
}
/* Input column j of A */
if (r == MSK_RES_OK && mNumCon)
{
int currentColumnIdx = mAColumnStartIdx[j];
int nextColumnIdx = mAColumnStartIdx[j + 1];
r = MSK_putavec(task, MSK_ACC_VAR, j, nextColumnIdx - currentColumnIdx, &(mARowIdx[currentColumnIdx]), &(mAValues[currentColumnIdx]));
}
}
/* Set the bounds on constraints .
for i=1, ... , NUMCON : blc [i] <= constraint i <= buc [i] */
for (int i = 0; i < mNumCon && r == MSK_RES_OK; ++i)
{
if (mbConstraintLowerBounded[i] && mbConstraintUpperBounded[i])
{
if (mlbc[i] == mubc[i])
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_FX, mlbc[i], mubc[i]);
}
else
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_RA, mlbc[i], mubc[i]);
}
}
else if (mbConstraintLowerBounded[i])
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_LO, mlbc[i], +MSK_INFINITY);
}
else if (mbConstraintUpperBounded[i])
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_UP, -MSK_INFINITY, mubc[i]);
}
else
{
LOG(WARNING) << "Every constraint should not be free.";
}
}
if (r == MSK_RES_OK)
{
/* Input the Q for the objective . */
r = MSK_putqobj(task, mQValues.size(), &(mQSubi[0]), &(mQSubj[0]), &(mQValues[0]));
}
if (r == MSK_RES_OK)
{
MSKrescodee trmcode;
r = MSK_optimizetrm(task, &trmcode);
MSK_solutionsummary(task, MSK_STREAM_LOG);
if (r == MSK_RES_OK)
{
MSKsolstae solsta;
MSK_getsolutionstatus(task, MSK_SOL_ITR, NULL, &solsta);
double* result = new double[mNumVar];
switch (solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
MSK_getsolutionslice(task, MSK_SOL_ITR, MSK_SOL_ITEM_XX, 0, mNumVar, result);
LOG(INFO) << "Optimal primal solution";
ret = true;
solution = VectorXd::Zero(mNumVar);
for (int k = 0; k < mNumVar; ++k)
solution[k] = result[k];
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:
LOG(WARNING) << "Primal or dual infeasibility certificate found.";
break;
case MSK_SOL_STA_UNKNOWN:
LOG(WARNING) << "The status of the solution could not be determined.";
break;
default:
LOG(WARNING) << "Other solution status.";
break;
}
delete[] result;
}
}
else
{
LOG(WARNING) << "Error while optimizing.";
}
if (r != MSK_RES_OK)
{
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
LOG(WARNING) << "An error occurred while optimizing.";
MSK_getcodedesc(r, symname, desc);
LOG(WARNING) << "Error " << symname << " - " << desc;
}
}
MSK_deletetask(&task);
MSK_deleteenv(&env);
postSolve(solution, ret, sol);
#endif
return ret;
}
/**********************
lap: the upper RHS of the symmetric graph laplacian matrix which will be transformed
to the hessian of the non-linear part of the optimisation function
n: number of nodes (length of coords array)
ordering: array containing sequences of nodes for each level,
ie, ordering[levels[i]] is first node of (i+1)th level
level_indexes: array of starting node for each level in ordering
ie, levels[i] is index to first node of (i+1)th level
also, levels[0] is number of nodes in first level
and, levels[i]-levels[i-1] is number of nodes in ith level
and, n - levels[num_divisions-1] is number of nodes in last level
num_divisions: number of divisions between levels, ie number of levels - 1
separation: the minimum separation between nodes on different levels
***********************/
MosekEnv *mosek_init_hier(float *lap, int n, int *ordering,
int *level_indexes, int num_divisions,
float separation)
{
int count = 0;
int i, j, num_levels = num_divisions + 1;
int num_constraints;
MosekEnv *mskEnv = GNEW(MosekEnv);
DigColaLevel *levels;
int nonzero_lapsize = (n * (n - 1)) / 2;
/* vars for nodes (except x0) + dummy nodes between levels
* x0 is fixed at 0, and therefore is not included in the opt problem
* add 2 more vars for top and bottom constraints
*/
mskEnv->num_variables = n + num_divisions + 1;
logfile = fopen("quad_solve_log", "w");
levels = assign_digcola_levels(ordering, n, level_indexes, num_divisions);
#ifdef DUMP_CONSTRAINTS
print_digcola_levels(logfile, levels, num_levels);
#endif
/* nonlinear coefficients matrix of objective function */
/* int lapsize=mskEnv->num_variables+(mskEnv->num_variables*(mskEnv->num_variables-1))/2; */
mskEnv->qval = N_GNEW(nonzero_lapsize, double);
mskEnv->qsubi = N_GNEW(nonzero_lapsize, int);
mskEnv->qsubj = N_GNEW(nonzero_lapsize, int);
/* solution vector */
mskEnv->xx = N_GNEW(mskEnv->num_variables, double);
/* constraint matrix */
separation /= 2.0; /* separation between each node and it's adjacent constraint */
num_constraints = get_num_digcola_constraints(levels,
num_levels) + num_divisions + 1;
/* constraints of the form x_i - x_j >= sep so 2 non-zero entries per constraint in LHS matrix
* except x_0 (fixed at 0) constraints which have 1 nz val each.
*/
#ifdef EQUAL_WIDTH_LEVELS
num_constraints += num_divisions;
#endif
/* pointer to beginning of nonzero sequence in a column */
for (i = 0; i < n - 1; i++) {
for (j = i; j < n - 1; j++) {
mskEnv->qval[count] = -2 * lap[count + n];
assert(mskEnv->qval[count] != 0);
mskEnv->qsubi[count] = j;
mskEnv->qsubj[count] = i;
count++;
}
}
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "Q=[");
int lapcntr = n;
for (i = 0; i < mskEnv->num_variables; i++) {
if (i != 0)
fprintf(logfile, ";");
for (j = 0; j < mskEnv->num_variables; j++) {
if (j < i || i >= n - 1 || j >= n - 1) {
fprintf(logfile, "0 ");
} else {
fprintf(logfile, "%f ", -2 * lap[lapcntr++]);
}
}
}
fprintf(logfile, "]\nQ=Q-diag(diag(Q))+Q'\n");
#endif
fprintf(logfile, "\n");
/* Make the mosek environment. */
mskEnv->r = MSK_makeenv(&mskEnv->env, NULL, NULL, NULL, NULL);
/* Check whether the return code is ok. */
if (mskEnv->r == MSK_RES_OK) {
/* Directs the log stream to the user
* specified procedure 'printstr'.
*/
MSK_linkfunctoenvstream(mskEnv->env, MSK_STREAM_LOG, NULL,
printstr);
}
/* Initialize the environment. */
mskEnv->r = MSK_initenv(mskEnv->env);
if (mskEnv->r == MSK_RES_OK) {
/* Make the optimization task. */
mskEnv->r =
MSK_maketask(mskEnv->env, num_constraints,
mskEnv->num_variables, &mskEnv->task);
if (mskEnv->r == MSK_RES_OK) {
int c_ind = 0;
int c_var = n - 1;
mskEnv->r =
MSK_linkfunctotaskstream(mskEnv->task, MSK_STREAM_LOG,
NULL, printstr);
/* Resize the task. */
if (mskEnv->r == MSK_RES_OK)
mskEnv->r = MSK_resizetask(mskEnv->task, num_constraints, mskEnv->num_variables, 0, /* no cones!! */
/* each constraint applies to 2 vars */
2 * num_constraints +
num_divisions, nonzero_lapsize);
/* Append the constraints. */
if (mskEnv->r == MSK_RES_OK)
mskEnv->r = MSK_append(mskEnv->task, 1, num_constraints);
/* Append the variables. */
if (mskEnv->r == MSK_RES_OK)
mskEnv->r =
MSK_append(mskEnv->task, 0, mskEnv->num_variables);
/* Put variable bounds. */
for (j = 0;
j < mskEnv->num_variables && mskEnv->r == MSK_RES_OK; ++j)
mskEnv->r =
MSK_putbound(mskEnv->task, 0, j, MSK_BK_RA,
-MSK_INFINITY, MSK_INFINITY);
for (j = 0; j < levels[0].num_nodes && mskEnv->r == MSK_RES_OK;
j++) {
int node = levels[0].nodes[j] - 1;
if (node >= 0) {
INIT_sub_val(c_var,node);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, c_ind, 2, subi, vali);
} else {
/* constraint for y0 (fixed at 0) */
mskEnv->r =
MSK_putaij(mskEnv->task, c_ind, c_var, 1.0);
}
mskEnv->r =
MSK_putbound(mskEnv->task, 1, c_ind, MSK_BK_LO,
separation, MSK_INFINITY);
c_ind++;
}
for (i = 0; i < num_divisions && mskEnv->r == MSK_RES_OK; i++) {
c_var = n + i;
for (j = 0;
j < levels[i].num_nodes && mskEnv->r == MSK_RES_OK;
j++) {
/* create separation constraint a>=b+separation */
int node = levels[i].nodes[j] - 1;
if (node >= 0) { /* no constraint for fixed node */
INIT_sub_val(node,c_var);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, c_ind, 2, subi,
vali);
} else {
/* constraint for y0 (fixed at 0) */
mskEnv->r =
MSK_putaij(mskEnv->task, c_ind, c_var, -1.0);
}
mskEnv->r =
MSK_putbound(mskEnv->task, 1, c_ind, MSK_BK_LO,
separation, MSK_INFINITY);
c_ind++;
}
for (j = 0;
j < levels[i + 1].num_nodes
&& mskEnv->r == MSK_RES_OK; j++) {
int node = levels[i + 1].nodes[j] - 1;
if (node >= 0) {
INIT_sub_val(c_var,node);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, c_ind, 2, subi,
vali);
} else {
/* constraint for y0 (fixed at 0) */
mskEnv->r =
MSK_putaij(mskEnv->task, c_ind, c_var, 1.0);
}
mskEnv->r =
MSK_putbound(mskEnv->task, 1, c_ind, MSK_BK_LO,
separation, MSK_INFINITY);
c_ind++;
}
}
c_var = n + i;
for (j = 0; j < levels[i].num_nodes && mskEnv->r == MSK_RES_OK;
j++) {
/* create separation constraint a>=b+separation */
int node = levels[i].nodes[j] - 1;
if (node >= 0) { /* no constraint for fixed node */
INIT_sub_val(node,c_var);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, c_ind, 2, subi, vali);
} else {
/* constraint for y0 (fixed at 0) */
mskEnv->r =
MSK_putaij(mskEnv->task, c_ind, c_var, -1.0);
}
mskEnv->r =
MSK_putbound(mskEnv->task, 1, c_ind, MSK_BK_LO,
separation, MSK_INFINITY);
c_ind++;
}
/* create constraints preserving the order of dummy vars */
for (i = 0; i < num_divisions + 1 && mskEnv->r == MSK_RES_OK;
i++) {
int c_var = n - 1 + i, c_var2 = c_var + 1;
INIT_sub_val(c_var,c_var2);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, c_ind, 2, subi, vali);
mskEnv->r =
MSK_putbound(mskEnv->task, 1, c_ind, MSK_BK_LO, 0,
MSK_INFINITY);
c_ind++;
}
#ifdef EQUAL_WIDTH_LEVELS
for (i = 1; i < num_divisions + 1 && mskEnv->r == MSK_RES_OK;
i++) {
int c_var = n - 1 + i, c_var_lo = c_var - 1, c_var_hi =
c_var + 1;
INIT_sub_val3(c_var_lo, c_var, c_var_h);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, c_ind, 3, subi, vali);
mskEnv->r =
MSK_putbound(mskEnv->task, 1, c_ind, MSK_BK_FX, 0, 0);
c_ind++;
}
#endif
assert(c_ind == num_constraints);
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "A=[");
for (i = 0; i < num_constraints; i++) {
if (i != 0)
fprintf(logfile, ";");
for (j = 0; j < mskEnv->num_variables; j++) {
double aij;
MSK_getaij(mskEnv->task, i, j, &aij);
fprintf(logfile, "%f ", aij);
}
}
fprintf(logfile, "]\n");
fprintf(logfile, "b=[");
for (i = 0; i < num_constraints; i++) {
fprintf(logfile, "%f ", separation);
}
fprintf(logfile, "]\n");
#endif
if (mskEnv->r == MSK_RES_OK) {
/*
* The lower triangular part of the Q
* matrix in the objective is specified.
*/
mskEnv->r =
MSK_putqobj(mskEnv->task, nonzero_lapsize,
mskEnv->qsubi, mskEnv->qsubj,
mskEnv->qval);
}
}
}
delete_digcola_levels(levels, num_levels);
return mskEnv;
}
/**********************
lap: the upper RHS of the symmetric graph laplacian matrix which will be transformed
to the hessian of the non-linear part of the optimisation function
has dimensions num_variables, dummy vars do not have entries in lap
cs: array of pointers to separation constraints
***********************/
MosekEnv *mosek_init_sep(float *lap, int num_variables, int num_dummy_vars,
Constraint ** cs, int num_constraints)
{
int i, j;
MosekEnv *mskEnv = GNEW(MosekEnv);
int count = 0;
int nonzero_lapsize = num_variables * (num_variables - 1) / 2;
/* fix var 0 */
mskEnv->num_variables = num_variables + num_dummy_vars - 1;
fprintf(stderr, "MOSEK!\n");
logfile = fopen("quad_solve_log", "w");
/* nonlinear coefficients matrix of objective function */
mskEnv->qval = N_GNEW(nonzero_lapsize, double);
mskEnv->qsubi = N_GNEW(nonzero_lapsize, int);
mskEnv->qsubj = N_GNEW(nonzero_lapsize, int);
/* solution vector */
mskEnv->xx = N_GNEW(mskEnv->num_variables, double);
/* pointer to beginning of nonzero sequence in a column */
for (i = 0; i < num_variables - 1; i++) {
for (j = i; j < num_variables - 1; j++) {
mskEnv->qval[count] = -2 * lap[count + num_variables];
/* assert(mskEnv->qval[count]!=0); */
mskEnv->qsubi[count] = j;
mskEnv->qsubj[count] = i;
count++;
}
}
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "Q=[");
count = 0;
for (i = 0; i < num_variables - 1; i++) {
if (i != 0)
fprintf(logfile, ";");
for (j = 0; j < num_variables - 1; j++) {
if (j < i) {
fprintf(logfile, "0 ");
} else {
fprintf(logfile, "%f ", -2 * lap[num_variables + count++]);
}
}
}
fprintf(logfile, "]\nQ=Q-diag(diag(Q))+Q'\n");
#endif
/* Make the mosek environment. */
mskEnv->r = MSK_makeenv(&mskEnv->env, NULL, NULL, NULL, NULL);
/* Check whether the return code is ok. */
if (mskEnv->r == MSK_RES_OK) {
/* Directs the log stream to the user
specified procedure 'printstr'. */
MSK_linkfunctoenvstream(mskEnv->env, MSK_STREAM_LOG, NULL,
printstr);
}
/* Initialize the environment. */
mskEnv->r = MSK_initenv(mskEnv->env);
if (mskEnv->r == MSK_RES_OK) {
/* Make the optimization task. */
mskEnv->r =
MSK_maketask(mskEnv->env, num_constraints,
mskEnv->num_variables, &mskEnv->task);
if (mskEnv->r == MSK_RES_OK) {
mskEnv->r =
MSK_linkfunctotaskstream(mskEnv->task, MSK_STREAM_LOG,
NULL, printstr);
/* Resize the task. */
if (mskEnv->r == MSK_RES_OK)
mskEnv->r = MSK_resizetask(mskEnv->task, num_constraints, mskEnv->num_variables, 0, /* no cones!! */
/* number of non-zero constraint matrix entries:
* each constraint applies to 2 vars
*/
2 * num_constraints,
nonzero_lapsize);
/* Append the constraints. */
if (mskEnv->r == MSK_RES_OK)
mskEnv->r = MSK_append(mskEnv->task, 1, num_constraints);
/* Append the variables. */
if (mskEnv->r == MSK_RES_OK)
mskEnv->r =
MSK_append(mskEnv->task, 0, mskEnv->num_variables);
/* Put variable bounds. */
for (j = 0;
j < mskEnv->num_variables && mskEnv->r == MSK_RES_OK; j++)
mskEnv->r =
MSK_putbound(mskEnv->task, 0, j, MSK_BK_RA,
-MSK_INFINITY, MSK_INFINITY);
for (i = 0; i < num_constraints; i++) {
int u = getLeftVarID(cs[i]) - 1;
int v = getRightVarID(cs[i]) - 1;
double separation = getSeparation(cs[i]);
if (u < 0) {
mskEnv->r =
MSK_putbound(mskEnv->task, 0, v, MSK_BK_RA,
-MSK_INFINITY, -separation);
assert(mskEnv->r == MSK_RES_OK);
} else if (v < 0) {
mskEnv->r =
MSK_putbound(mskEnv->task, 0, u, MSK_BK_RA,
separation, MSK_INFINITY);
assert(mskEnv->r == MSK_RES_OK);
} else {
/* fprintf(stderr,"u=%d,v=%d,sep=%f\n",u,v,separation); */
INIT_sub_val(u,v);
mskEnv->r =
MSK_putavec(mskEnv->task, 1, i, 2, subi, vali);
assert(mskEnv->r == MSK_RES_OK);
mskEnv->r =
MSK_putbound(mskEnv->task, 1, i, MSK_BK_LO,
separation, MSK_INFINITY);
assert(mskEnv->r == MSK_RES_OK);
}
}
if (mskEnv->r == MSK_RES_OK) {
/*
* The lower triangular part of the Q
* matrix in the objective is specified.
*/
mskEnv->r =
MSK_putqobj(mskEnv->task, nonzero_lapsize,
mskEnv->qsubi, mskEnv->qsubj,
mskEnv->qval);
assert(mskEnv->r == MSK_RES_OK);
}
}
}
return mskEnv;
}
int main(int argc,char *argv[])
{
MSKrescodee
r;
MSKboundkeye
bkc[NUMCON],bkx[NUMVAR];
int
j,i,
ptrb[NUMVAR],ptre[NUMVAR],sub[NUMANZ];
double
blc[NUMCON],buc[NUMCON],
c[NUMVAR],blx[NUMVAR],bux[NUMVAR],val[NUMANZ],
xx[NUMVAR];
MSKenv_t env;
MSKtask_t task;
/* Make mosek environment. */
r = MSK_makeenv(&env,NULL,NULL,NULL,NULL);
/* Check is return code is ok. */
if ( r==MSK_RES_OK )
{
/* Directs the env log stream to the user
specified procedure 'printstr'. */
MSK_linkfunctoenvstream(env,MSK_STREAM_LOG,NULL,printstr);
}
/* Initialize the environment. */
r = MSK_initenv(env);
if ( r==MSK_RES_OK )
{
/* Send a message to the MOSEK Message stream. */
MSK_echoenv(env,
MSK_STREAM_MSG,
"\nMaking the MOSEK optimization task\n");
/* Make the optimization task. */
r = MSK_maketask(env,NUMCON,NUMVAR,&task);
if ( r==MSK_RES_OK )
{
/* Directs the log task stream to the user
specified procedure 'printstr'. */
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
MSK_echotask(task,
MSK_STREAM_MSG,
"\nDefining the problem data.\n");
/* Define bounds for the constraints. */
/* Constraint: 0 */
bkc[0] = MSK_BK_FX; /* Type of bound. */
blc[0] = 30.0; /* Lower bound on the
constraint. */
buc[0] = 30.0; /* Upper bound on the
constraint. */
/* Constraint: 1 */
bkc[1] = MSK_BK_LO;
blc[1] = 15.0;
buc[1] = MSK_INFINITY;
/* Constraint: 2 */
bkc[2] = MSK_BK_UP;
blc[2] = -MSK_INFINITY;
buc[2] = 25.0;
/* Define information for the variables. */
/* Variable: x0 */
c[0] = 3.0; /* The objective function. */
ptrb[0] = 0; ptre[0] = 2; /* First column in
the constraint matrix. */
sub[0] = 0; val[0] = 3.0;
sub[1] = 1; val[1] = 2.0;
bkx[0] = MSK_BK_LO; /* Type of bound. */
blx[0] = 0.0; /* Lower bound on the
variables. */
bux[0] = MSK_INFINITY; /* Upper bound on the
variables. */
/* Variable: x1 */
c[1] = 1.0;
ptrb[1] = 2; ptre[1] = 5;
sub[2] = 0; val[2] = 1.0;
sub[3] = 1; val[3] = 1.0;
sub[4] = 2; val[4] = 2.0;
bkx[1] = MSK_BK_RA;
blx[1] = 0.0;
bux[1] = 10;
/* Variable: x2 */
c[2] = 5.0;
ptrb[2] = 5; ptre[2] = 7;
sub[5] = 0; val[5] = 2.0;
sub[6] = 1; val[6] = 3.0;
bkx[2] = MSK_BK_LO;
blx[2] = 0.0;
bux[2] = MSK_INFINITY;
/* Variable: x3 */
c[3] = 1.0;
ptrb[3] = 7; ptre[3] = 9;
sub[7] = 1; val[7] = 1.0;
sub[8] = 2; val[8] = 3.0;
bkx[3] = MSK_BK_LO;
blx[3] = 0.0;
bux[3] = MSK_INFINITY;
MSK_putobjsense(task,
MSK_OBJECTIVE_SENSE_MAXIMIZE);
/* Use the primal simplex optimizer. */
MSK_putintparam(task,
MSK_IPAR_OPTIMIZER,
MSK_OPTIMIZER_PRIMAL_SIMPLEX);
MSK_echotask(task,
MSK_STREAM_MSG,
"\nAdding constraints\n");
r = MSK_append(task,
MSK_ACC_CON,
NUMCON);
/* Adding bounds on empty constraints */
for(i=0; r==MSK_RES_OK && i<NUMCON; ++i)
{
r = MSK_putbound(task,
MSK_ACC_CON,
i,
bkc[i],
blc[i],
buc[i]);
}
/* Dynamically adding columns */
for(j= 0; r==MSK_RES_OK && j<NUMVAR; ++j)
{
MSK_echotask(task,
MSK_STREAM_MSG,
"\nAdding a new variable.\n");
r = MSK_append(task,MSK_ACC_VAR,1);
if ( r==MSK_RES_OK )
r = MSK_putcj(task,j,c[j]);
if ( r==MSK_RES_OK )
r = MSK_putavec(task,
MSK_ACC_VAR,
j,
ptre[j]-ptrb[j],
sub+ptrb[j],
val+ptrb[j]);
if ( r==MSK_RES_OK )
r = MSK_putbound(task,
MSK_ACC_VAR,
j,
bkx[j],
blx[j],
bux[j]);
if( r == MSK_RES_OK )
{
MSK_echotask(task,
MSK_STREAM_MSG,
"\nOptimizing\n");
r = MSK_optimize(task);
MSK_solutionsummary(task,MSK_STREAM_MSG);
}
}
MSK_deletetask(&task);
}
}
MSK_deleteenv(&env);
printf("Return code: %d (0 means no error occured.)\n",r);
return ( r );
} /* main */
