/*
n: size of b and coords, may be smaller than mskEnv->num_variables if we
have dummy vars
b: coefficients of linear part of optimisation function
coords: optimal y* vector, coord[i] is coordinate of node[i]
*/
void mosek_quad_solve_sep(MosekEnv * mskEnv, int n, float *b,
float *coords)
{
int i, j;
assert(n <= mskEnv->num_variables + 1);
for (i = 0; i < n - 1 && mskEnv->r == MSK_RES_OK; i++) {
mskEnv->r = MSK_putcj(mskEnv->task, i, -2 * b[i + 1]);
}
if (mskEnv->r == MSK_RES_OK)
mskEnv->r = MSK_optimize(mskEnv->task);
if (mskEnv->r == MSK_RES_OK) {
MSK_getsolutionslice(mskEnv->task,
MSK_SOL_ITR,
MSK_SOL_ITEM_XX,
0, mskEnv->num_variables, mskEnv->xx);
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "Primal solution\n");
#endif
coords[0] = 0;
for (j = 1; j <= n; j++) {
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "x[%d]: %.2f\n", j, mskEnv->xx[j - 1]);
#endif
coords[j] = -mskEnv->xx[j - 1];
}
}
fprintf(logfile, "Return code: %d\n", mskEnv->r);
}
/*
b: coefficients of linear part of optimisation function
n: number of nodes
coords: optimal y* vector, coord[i] is coordinate of node[i]
hierarchy_boundaries: y coord of boundaries between levels
(ie, solution values for the dummy variables used in constraints)
*/
void mosek_quad_solve_hier(MosekEnv * mskEnv, float *b, int n,
float *coords, float *hierarchy_boundaries)
{
int i, j;
for (i = 1; i < n && mskEnv->r == MSK_RES_OK; i++) {
mskEnv->r = MSK_putcj(mskEnv->task, i - 1, -2 * b[i]);
}
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "x0=[");
for (j = 0; j < mskEnv->num_variables; j++) {
fprintf(logfile, "%f ", j < n ? b[j] : 0);
}
fprintf(logfile, "]\n");
fprintf(logfile, "f=[");
double *c = N_GNEW(mskEnv->num_variables, double);
MSK_getc(mskEnv->task, c);
for (j = 0; j < mskEnv->num_variables; j++) {
fprintf(logfile, "%f ", c[j]);
}
free(c);
fprintf(logfile, "]\n");
#endif
if (mskEnv->r == MSK_RES_OK)
mskEnv->r = MSK_optimize(mskEnv->task);
if (mskEnv->r == MSK_RES_OK) {
MSK_getsolutionslice(mskEnv->task,
MSK_SOL_ITR,
MSK_SOL_ITEM_XX,
0, mskEnv->num_variables, mskEnv->xx);
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "Primal solution\n");
#endif
coords[0] = 0;
for (j = 0; j < mskEnv->num_variables; ++j) {
#ifdef DUMP_CONSTRAINTS
fprintf(logfile, "x[%d]: %.2f\n", j, mskEnv->xx[j]);
#endif
if (j < n - 1) {
coords[j + 1] = -mskEnv->xx[j];
} else if (j >= n && j < mskEnv->num_variables - 1) {
hierarchy_boundaries[j - n] = -mskEnv->xx[j];
}
}
}
fprintf(logfile, "Return code: %d\n", mskEnv->r);
}
Problem * create_problem() {
MSKrescodee r;
const MSKint32t numvar = 2;
const MSKint32t numcon = 1;
MSKboundkeye bkx[] = {MSK_BK_FR,
MSK_BK_FR};
double blx[] = {-MSK_INFINITY,
-MSK_INFINITY};
double bux[] = {+MSK_INFINITY,
+MSK_INFINITY};
double c[] = {0.0,
1.0};
/* will be used for cones */
MSKint32t i, j;
MSKint32t csub[2];
MSKenv_t env = NULL;
MSKtask_t task = NULL;
r = MSK_makeenv(&env,NULL);
r = MSK_maketask(env,numcon,numvar,&task);
r = MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
r = MSK_appendcons(task,numcon);
r = MSK_appendvars(task,numvar);
for(j=0; j<numvar && r == MSK_RES_OK; ++j) {
r = MSK_putcj(task,j,c[j]);
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.*/
}
csub[0] = 0;
csub[1] = 1;
r = MSK_appendcone(task,
MSK_CT_QUAD,
0.0, /* For future use only, can be set to 0.0 */
2,
csub);
r = MSK_putobjsense(task, MSK_OBJECTIVE_SENSE_MINIMIZE);
Problem * p = new Problem;
p->env_ = env;
p->task_= task;
return p;
}
bool ConicSolver::Solve(VectorXd& sol)
{
bool ret = false;
#ifdef _WIN32
VectorXd solution;
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, mc[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];
if (nextColumnIdx - currentColumnIdx > 0)
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.";
}
}
for (int i = 0; i < mNumCone; ++i)
{
Cone& cone = mCones[i];
r = MSK_appendcone(task, MSK_CT_RQUAD, 0.0, cone.mSubscripts.size(), cone.GetMosekConeSubId());
//r = MSK_appendcone(task, MSK_CT_QUAD, 0.0, cone.mSubscripts.size(), cone.GetMosekConeSubId());
}
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);
sol = VectorXd::Zero(mNumVar);
for (int k = 0; k < mNumVar; ++k)
{
solution[k] = result[k];
sol[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);
#endif
return ret;
}
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 column. */
MSKlidxt aptrb[] = {0, 2, 5, 7};
MSKlidxt aptre[] = {2, 5, 7, 9};
MSKidxt 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 };
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.*/
/* 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.*/
/* 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;
}
void MyQCQP::optimize()
{
// resize alpha
if(alpha != NULL)
delete []alpha;
alpha = new double[numvar];
double *c_ = new double[numvar];
for(int i = 0;i<numvar;i++) c_[i] = c[i];
MSKboundkeye *bkc_ = new MSKboundkeye[numcon];
double * blc_ = new double[numcon];
double * buc_ = new double[numcon];
for(int i = 0;i<numcon;i++)
{
bkc_[i] = bkc[i];
blc_[i] = blc[i];
buc_[i] = buc[i];
}
MSKboundkeye *bkx_ = new MSKboundkeye[numvar];
double * blx_ = new double[numvar];
double * bux_ = new double[numvar];
for(int i = 0;i<numvar;i++)
{
bkx_[i] = bkx[i];
blx_[i] = blx[i];
bux_[i] = bux[i];
}
MSKlidxt *aptrb_ = new MSKlidxt[aptrb.size()];
for(size_t i = 0;i<aptrb.size();i++) aptrb_[i] = aptrb[i];
MSKlidxt * aptre_ = new MSKlidxt[aptre.size()];
for(size_t i = 0;i<aptre.size();i++) aptre_[i] = aptre[i];
MSKidxt * asub_ = new MSKidxt[asub.size()];
for(size_t i = 0;i<asub.size();i++) asub_[i] = asub[i];
double *aval_ = new double[aval.size()];
for(size_t i = 0;i<aval.size();i++) aval_[i] = aval[i];
MSKrescodee r;
MSKenv_t env;
MSKtask_t task;
r = MSK_makeenv(&env,NULL,NULL,NULL,NULL);
r = MSK_initenv(env);
if(r == MSK_RES_OK)
{
r = MSK_maketask(env,numcon,numvar,&task);
if(r == MSK_RES_OK)
r = MSK_append(task,MSK_ACC_CON,numcon);
if(r == MSK_RES_OK)
r = MSK_append(task,MSK_ACC_VAR, numvar);
for(int j = 0;j<numvar && r== MSK_RES_OK;j++)
{
if(r == MSK_RES_OK)
r = MSK_putcj(task,j,c_[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)
r = MSK_putavec(task,MSK_ACC_VAR,j,aptre_[j] - aptrb_[j], asub_ + aptrb_[j],aval_+aptrb_[j]);
}
for(int i=0;i<numcon && r== MSK_RES_OK;i++)
{
r = MSK_putbound(task,MSK_ACC_CON,i,bkc_[i],blc_[i],buc_[i]);
}
delete []c_;
delete []bkx_;
delete []blx_;
delete []bux_;
delete []aptrb_;
delete []aptre_;
delete []asub_;
delete []aval_;
delete []bkc_;
delete []blc_;
delete []buc_;
for(int i=0;i<numcon-1 && r== MSK_RES_OK;i++) // numcon-1 quadratic constraints
{
int nzero = qsubi[i].size();
MSKidxt * qsubi_ = new MSKidxt[nzero];
MSKidxt * qsubj_ = new MSKidxt[nzero];
double * qval_ = new double[nzero];
for(int m = 0;m<nzero;m++)
{
qsubi_[m] = qsubi[i][m];
qsubj_[m] = qsubj[i][m];
qval_[m] = qval[i][m];
}
if(r == MSK_RES_OK)
r = MSK_putqconk(task,i,nzero,qsubi_,qsubj_,qval_);
delete []qsubi_;
delete []qsubj_;
delete []qval_;
}
if(r == MSK_RES_OK)
r = MSK_putobjsense(task,MSK_OBJECTIVE_SENSE_MINIMIZE);
if(r == MSK_RES_OK)
{
MSKrescodee trmcode;
r = MSK_optimizetrm(task,&trmcode);
MSK_getsolutionslice(task,MSK_SOL_ITR, MSK_SOL_ITEM_XX,0,numvar,alpha);
MSK_getsolutionslice(task,MSK_SOL_ITR,MSK_SOL_ITEM_SUC,0,numcon,mu);
}
MSK_deletetask(&task);
}
MSK_deleteenv(&env);
}
MSKrescodee
MSK_dgosetup(MSKtask_t task,
MSKintt numvar,
MSKintt numcon,
MSKintt t,
double *v,
MSKintt *p,
nlhand_t *nlh)
{
MSKintt j,k;
MSKrescodee r=MSK_RES_OK;
MSKenv_t env;
nlh[0] = NULL;
MSK_getenv(task,&env);
/* set up nonlinear part */
if (r == MSK_RES_OK)
{
nlh[0] = (nlhand_t) MSK_calloctask(task,1,sizeof(nlhandt));
if (nlh[0] == NULL)
r = MSK_RES_ERR_SPACE;
}
nlh[0]->p = NULL;
if ( r == MSK_RES_OK )
{
nlh[0]->n = numvar;
if ( r==MSK_RES_OK )
{
nlh[0]->t = t;
nlh[0]->task = task;
if (r == MSK_RES_OK)
{
nlh[0]->p = MSK_calloctask(task,nlh[0]->t+1,sizeof(int));
if (nlh[0]->p == NULL)
r = MSK_RES_ERR_SPACE;
}
if ( r == MSK_RES_OK )
{
nlh[0]->p[0] = 0;
for(k=0; k<nlh[0]->t; ++k)
{
nlh[0]->p[k+1] = nlh[0]->p[k]+p[k];
}
for(k=0; k<nlh[0]->t; ++k)
{
for(j=nlh[0]->p[k]; j<nlh[0]->p[k+1]; ++j)
{
#if DEBUG
assert(v[j] > 0);
#endif
MSK_putcj(task,j,OBJSCAL*log(v[j]));
}
}
if ( nlh[0]->p[nlh[0]->t]==nlh[0]->n )
{
/*
* The problem is now defined
* and the setup can proceed.
* Next, the number of Hessian non-zeros
* is computed.
*/
nlh[0]->numhesnz = nlh[0]->p[1]-nlh[0]->p[0];
for(k=1; k<nlh[0]->t; ++k)
{
if (( nlh[0]->p[k+1]-nlh[0]->p[k])>1 )
{
/* If only one term in primal constraint,
the corresponding value in H is zero.
*/
nlh[0]->numhesnz += ((nlh[0]->p[k+1]-nlh[0]->p[k])
* (1+nlh[0]->p[k+1]-nlh[0]->p[k]))/2;
}
}
printf("Number of Hessian non-zeros: %d\n",nlh[0]->numhesnz);
MSK_putnlfunc(task,nlh[0],dgostruc,dgoeval);
}
else
{
printf("Incorrect function definition.\n");
printf("n gathered from the task file: %d\n",nlh[0]->n);
printf("n computed based on p : %d\n",nlh[0]->p[nlh[0]->t]);
r = MSK_RES_ERR_UNKNOWN;
}
}
}
}
if (r == MSK_RES_OK)
r = MSK_putobjsense(task,MSK_OBJECTIVE_SENSE_MAXIMIZE);
return ( r );
} /* dgosetup */
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 */
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 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;
}
int main(int argc,char *argv[])
{
const MSKint32t numvar = 3,
numcon = 3;
MSKint32t i,j;
double c[] = {1.5, 2.5, 3.0};
MSKint32t ptrb[] = {0, 3, 6},
ptre[] = {3, 6, 9},
asub[] = { 0, 1, 2,
0, 1, 2,
0, 1, 2};
double aval[] = { 2.0, 3.0, 2.0,
4.0, 2.0, 3.0,
3.0, 3.0, 2.0};
MSKboundkeye bkc[] = {MSK_BK_UP, MSK_BK_UP, MSK_BK_UP };
double blc[] = {-MSK_INFINITY, -MSK_INFINITY, -MSK_INFINITY};
double buc[] = {100000, 50000, 60000};
MSKboundkeye bkx[] = {MSK_BK_LO, MSK_BK_LO, MSK_BK_LO};
double blx[] = {0.0, 0.0, 0.0,};
double bux[] = {+MSK_INFINITY, +MSK_INFINITY,+MSK_INFINITY};
double *xx=NULL;
MSKenv_t env;
MSKtask_t task;
MSKint32t varidx,conidx;
MSKrescodee r;
/* 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. */
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Append the constraints. */
if (r == MSK_RES_OK)
r = MSK_appendcons(task,numcon);
/* Append the variables. */
if (r == MSK_RES_OK)
r = MSK_appendvars(task,numvar);
/* Put C. */
if (r == MSK_RES_OK)
r = MSK_putcfix(task, 0.0);
if (r == MSK_RES_OK)
for(j=0; j<numvar; ++j)
r = MSK_putcj(task,j,c[j]);
/* Put constraint bounds. */
if (r == MSK_RES_OK)
for(i=0; i<numcon; ++i)
r = MSK_putconbound(task,i,bkc[i],blc[i],buc[i]);
/* Put variable bounds. */
if (r == MSK_RES_OK)
for(j=0; j<numvar; ++j)
r = MSK_putvarbound(task,j,bkx[j],blx[j],bux[j]);
/* Put A. */
if (r == MSK_RES_OK)
if ( numcon>0 )
for(j=0; j<numvar; ++j)
r = MSK_putacol(task,
j,
ptre[j]-ptrb[j],
asub+ptrb[j],
aval+ptrb[j]);
if (r == MSK_RES_OK)
r = MSK_putobjsense(task,
MSK_OBJECTIVE_SENSE_MAXIMIZE);
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
if (r == MSK_RES_OK)
{
xx = calloc(numvar,sizeof(double));
if ( !xx )
r = MSK_RES_ERR_SPACE;
}
if (r == MSK_RES_OK)
r = MSK_getxx(task,
MSK_SOL_BAS, /* Basic solution. */
xx);
/* Make a change to the A matrix */
if (r == MSK_RES_OK)
r = MSK_putaij(task, 0, 0, 3.0);
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
/* Get index of new variable, this should be 3 */
if (r == MSK_RES_OK)
r = MSK_getnumvar(task,&varidx);
/* Append a new variable x_3 to the problem */
if (r == MSK_RES_OK)
r = MSK_appendvars(task,1);
/* Set bounds on new variable */
if (r == MSK_RES_OK)
r = MSK_putvarbound(task,
varidx,
MSK_BK_LO,
0,
+MSK_INFINITY);
/* Change objective */
if (r == MSK_RES_OK)
r = MSK_putcj(task,varidx,1.0);
/* Put new values in the A matrix */
if (r == MSK_RES_OK)
{
MSKint32t acolsub[] = {0, 2};
double acolval[] = {4.0, 1.0};
r = MSK_putacol(task,
varidx, /* column index */
2, /* num nz in column*/
acolsub,
acolval);
}
/* Change optimizer to free simplex and reoptimize */
if (r == MSK_RES_OK)
r = MSK_putintparam(task,MSK_IPAR_OPTIMIZER,MSK_OPTIMIZER_FREE_SIMPLEX);
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
/* Get index of new constraint*/
if (r == MSK_RES_OK)
r = MSK_getnumcon(task,&conidx);
/* Append a new constraint */
if (r == MSK_RES_OK)
r = MSK_appendcons(task,1);
/* Set bounds on new constraint */
if (r == MSK_RES_OK)
r = MSK_putconbound(task,
conidx,
MSK_BK_UP,
-MSK_INFINITY,
30000);
/* Put new values in the A matrix */
if (r == MSK_RES_OK)
{
MSKidxt arowsub[] = {0, 1, 2, 3 };
double arowval[] = {1.0, 2.0, 1.0, 1.0};
r = MSK_putarow(task,
conidx, /* row index */
4, /* num nz in row*/
arowsub,
arowval);
}
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
if ( xx )
free(xx);
MSK_deletetask(&task);
}
MSK_deleteenv(&env);
printf("Return code: %d (0 means no error occured.)\n",r);
return ( r );
} /* main */
template <typename _Scalar> typename MosekOpt<_Scalar>::ReturnType
MosekOpt<_Scalar>::
update( bool verbose )
{
if ( _task != NULL )
{
std::cerr << "[" << __func__ << "]: " << "update can only be called once! returning." << std::endl;
return MSK_RES_ERR_UNKNOWN;
}
/* Create the optimization task. */
if ( MSK_RES_OK == _r )
{
_r = MSK_maketask( _env, this->getConstraintCount(), this->getVarCount(), &_task );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not create task with " << this->getVarCount() << " vars, and " << this->getConstraintCount() << " constraints" << std::endl;
}
// redirect output
if ( MSK_RES_OK == _r )
{
_r = MSK_linkfunctotaskstream( _task, MSK_STREAM_LOG, NULL, mosekPrintStr );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not create rewire output to mosekPrintStr(), continuing though..." << std::endl;
}
// Append _numCon empty constraints. The constraints will initially have no bounds.
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_appendcons(_task,"<< this->getConstraintCount() <<");" << std::endl;
_r = MSK_appendcons( _task, this->getConstraintCount() );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not append " << this->getConstraintCount() << " constraints" << std::endl;
}
// Append _numVar variables. The variables will initially be fixed at zero (x=0).
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_appendvars(_task," << this->getVarCount() <<");" << std::endl;
_r = MSK_appendvars( _task, this->getVarCount() );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not append " << this->getVarCount() << " variables" << std::endl;
}
// Optionally add a constant term to the objective.
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_putcfix(_task," << this->getObjectiveBias() << ");" << std::endl;
_r = MSK_putcfix( _task, this->getObjectiveBias() );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not add constant " << this->getObjectiveBias() << " to objective function" << std::endl;
}
// set Variables
for ( size_t j = 0; (j < this->getVarCount()) && (MSK_RES_OK == _r); ++j )
{
// set Variable j's Bounds // blx[j] <= x_j <= bux[j]
if ( MSK_RES_OK == _r )
{
_r = MSK_putvarbound( _task,
j, /* Index of variable.*/
MosekOpt<Scalar>::getBoundTypeCustom( this->getVarBoundType(j) ), /* Bound key.*/
this->getVarLowerBound(j), /* Numerical value of lower bound.*/
this->getVarUpperBound(j) ); /* Numerical value of upper bound.*/
if ( verbose ) std::cout << "my: MSK_putvarbound(_task," << j << "," << this->getVarBoundType(j) << "," << this->getVarLowerBound(j) << "," << this->getVarUpperBound(j) << ");" << std::endl;
}
// set Variable j's Type
if ( MSK_RES_OK == _r )
{
_r = MSK_putvartype( _task, j, MosekOpt<Scalar>::getVarTypeCustom(this->getVarType(j)) );
}
// set Variable j's linear coefficient in the objective function
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: putcj(_task," << j << "," << this->getLinObjectives()[j] << ")" << std::endl;
_r = MSK_putcj( _task, j, this->getLinObjectives()[j] );
}
}
// set Quadratic Objectives
if ( MSK_RES_OK == _r )
{
const int numNonZeros = this->getQuadraticObjectives().size();
MSKint32t *qsubi = new MSKint32t[numNonZeros],
*qsubj = new MSKint32t[numNonZeros];
double *qval = new double[numNonZeros];
for ( size_t qi = 0; qi != this->getQuadraticObjectives().size(); ++qi )
{
qsubi[qi] = this->getQuadraticObjectives()[qi].row();
qsubj[qi] = this->getQuadraticObjectives()[qi].col();
qval [qi] = this->getQuadraticObjectives()[qi].value();
}
if ( verbose ) std::cout<<"my: putqobj( _task, " << numNonZeros << ",\n";
for ( size_t vi = 0; vi != numNonZeros; ++vi )
{
if ( verbose ) std::cout << qsubi[vi] << "," << qsubj[vi] << ", " << qval[vi] << std::endl;
}
if ( verbose ) std::cout << ");" << std::endl;
_r = MSK_putqobj( _task, numNonZeros, qsubi, qsubj, qval );
if ( qsubi ) { delete[] qsubi; qsubi = NULL; }
if ( qsubj ) { delete[] qsubj; qsubj = NULL; }
if ( qval ) { delete[] qval ; qval = NULL; }
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "Setting Quadratic Objectives caused error code " << (int)_r << std::endl;
} // ...Quadratic objective
// set Linear Constraints
{
typename ParentType::SparseMatrix A( this->getLinConstraintsMatrix() );
// ( this->getConstraintCount(), this->getVarCount() );
// A.setFromTriplets( this->getLinConstraints().begin(), this->getLinConstraints().end() );
std::vector<double> aval; // Linear constraints coeff matrix (sparse)
std::vector<int> asub; // Linear constraints coeff matrix indices
std::vector<int> aptrb, aptre;
for ( int row = 0; (row < A.outerSize()) && (MSK_RES_OK == _r); ++row )
{
// set Constraint Bounds for row
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_putconbound( _task, " << row << ", "
<< MosekOpt<Scalar>::getBoundTypeCustom( this->getConstraintBoundType(row) ) << ", "
<< this->getConstraintLowerBound( row ) << ", "
<< this->getConstraintUpperBound( row ) << ")"
<< std::endl; fflush( stdout );
_r = MSK_putconbound( _task,
row, /* Index of constraint.*/
MosekOpt<Scalar>::getBoundTypeCustom(this->getConstraintBoundType(row)), /* Bound key.*/
this->getConstraintLowerBound(row), /* Numerical value of lower bound.*/
this->getConstraintUpperBound(row) ); /* Numerical value of upper bound.*/
}
// set Linear Constraint row
if ( MSK_RES_OK == _r )
{
// new line starts at index == current size
aptrb.push_back( aval.size() );
// add coeffs from new line
for ( typename ParentType::SparseMatrix::InnerIterator it(A,row); it; ++it )
{
if ( row != it.row() ) std::cerr << "[" << __func__ << "]: " << "this shouldn't happen" << std::endl;
// coeff value
aval.push_back( it.value() ); // TODO: A should be a matrix, not a vector...
// coeff subscript
asub.push_back( it.col() );
}
// new line ends at index == new size
aptre.push_back( aval.size() );
if ( verbose ) {
std::cout << "my: MSK_putarow( _task, "
<< row << ", "
<< aptre[row] - aptrb[row] << ", "
<< *(asub.data() + aptrb[row]) << ", "
<< *(aval.data() + aptrb[row]) << ");"
<< std::endl; fflush( stdout );
}
_r = MSK_putarow( _task,
row, /* Row index.*/
aptre[row] - aptrb[row], /* Number of non-zeros in row i.*/
asub.data() + aptrb[row], /* Pointer to column indexes of row i.*/
aval.data() + aptrb[row]); /* Pointer to values of row i.*/
}
} // ... for A.rows
// report error
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "Setting Lin constraints caused error code " << (int)_r << std::endl;
} // ...set Linear Constraints
// set Quadratic constraints
if ( verbose ) std::cout << "[" << __func__ << "]: " << "adding q constraints" << std::endl;
for ( size_t constr_id = 0; (constr_id != this->getQuadraticConstraints().size()) && (MSK_RES_OK == _r); ++constr_id )
{
const int numNonZeros = this->getQuadraticConstraints(constr_id).size();
MSKint32t *qsubi = new MSKint32t[numNonZeros],
*qsubj = new MSKint32t[numNonZeros];
double *qval = new double[numNonZeros];
for ( size_t qi = 0; qi != this->getQuadraticConstraints(constr_id).size(); ++qi )
{
qsubi[qi] = this->getQuadraticConstraints(constr_id)[qi].row();
qsubj[qi] = this->getQuadraticConstraints(constr_id)[qi].col();
qval [qi] = this->getQuadraticConstraints(constr_id)[qi].value();
}
if ( verbose ) std::cout<<"my: MSK_putqonk( _task, " << constr_id << ", " << numNonZeros << ",\n";
for(size_t vi=0;vi!=numNonZeros;++vi)
{
if ( verbose ) std::cout << qsubi[vi] << "," << qsubj[vi] << ", " << qval[vi] << std::endl;
}
if ( verbose ) std::cout << "); " << std::endl;
_r = MSK_putqconk(_task,
constr_id,
numNonZeros,
qsubi,
qsubj,
qval);
if ( qsubi ) { delete[] qsubi; qsubi = NULL; }
if ( qsubj ) { delete[] qsubj; qsubj = NULL; }
if ( qval ) { delete[] qval ; qval = NULL; }
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "Setting Quad constraints caused error code " << (int)_r << std::endl;
} // ...set Quadratic Constraints
// save to file
{
if ( _r == MSK_RES_OK )
{
_r = MSK_putintparam( _task, MSK_IPAR_WRITE_DATA_FORMAT, MSK_DATA_FORMAT_LP );
if ( _r == MSK_RES_OK )
{
_r = MSK_writedata( _task, "mosek.lp" );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "Writedata did not work" << (int)_r << std::endl;
}
}
}
}
if ( _r == MSK_RES_OK )
{
this->_x.setZero();
this->_updated = true;
}
// return error code
return _r;
} // ...MosekOpt::update()
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;
}
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 */