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 */
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()