int main(int argc,char *argv[]) { MSKenv_t env = NULL; MSKtask_t task = NULL; MSKintt r = MSK_RES_OK; /* Create mosek environment. */ r = MSK_makeenv(&env,NULL); if ( r==MSK_RES_OK ) r = MSK_maketask(env,0,0,&task); if ( r==MSK_RES_OK ) MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr); if (r == MSK_RES_OK) r = MSK_readdata(task,argv[1]); MSK_putintparam(task,MSK_IPAR_OPTIMIZER,MSK_OPTIMIZER_CONCURRENT); MSK_putintparam(task,MSK_IPAR_CONCURRENT_NUM_OPTIMIZERS,2); if (r == MSK_RES_OK) r = MSK_optimize(task); MSK_solutionsummary(task,MSK_STREAM_LOG); MSK_deletetask(&task); MSK_deleteenv(&env); printf("Return code: %d (0 means no error occured.)\n",r); return ( r ); } /* main */
int main() { Problem * p = create_problem(); MSK_writedata(p->task_, "ex6.mps"); MSK_deletetask(&(p->task_)); MSK_deleteenv(&(p->env_)); delete p; return 0; }
MosekOpt<_Scalar>::~MosekOpt() { if ( _task ) { MSK_deletetask( &_task ); _task = NULL; } if ( _env && _ownsEnv ) { MSK_deleteenv( &_env ); _env = NULL; } }
/* please call to clean up */ void mosek_delete(MosekEnv * mskEnv) { MSK_deletetask(&mskEnv->task); MSK_deleteenv(&mskEnv->env); if (logfile) { fclose(logfile); logfile = NULL; } free(mskEnv->qval); free(mskEnv->qsubi); free(mskEnv->qsubj); free(mskEnv->xx); free(mskEnv); }
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); }
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[]) { MSKtask_t task = NULL; MSKenv_t env = NULL; MSKrescodee r = MSK_RES_OK; if (argc <= 1) { printf ("Missing argument. The syntax is:\n"); printf (" simple inputfile [ solutionfile ]\n"); } else { /* Create the mosek environment. The `NULL' arguments here, are used to specify customized memory allocators and a memory debug file. These can safely be ignored for now. */ r = MSK_makeenv(&env, NULL, NULL, NULL, NULL); /* Initialize the environment */ if ( r==MSK_RES_OK ) MSK_initenv (env); /* Create a task object linked to the environment env. Initially we create it with 0 variables and 0 columns, since we do not know the size of the problem. */ if ( r==MSK_RES_OK ) r = MSK_maketask (env, 0,0, &task); if (r == MSK_RES_OK) MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr); /* We assume that a problem file was given as the first command line argument (received in `argv'). */ if ( r==MSK_RES_OK ) r = MSK_readdata (task, argv[1]); /* Solve the problem */ if ( r==MSK_RES_OK ) { MSKrescodee trmcode; MSK_optimizetrm(task,&trmcode); } /* Print a summary of the solution. */ MSK_solutionsummary(task, MSK_STREAM_MSG); if (r == MSK_RES_OK) { MSKprostae prosta; MSKsolstae solsta; MSKrealt primalobj,maxpbi,maxpcni,maxpeqi,maxinti, dualobj, maxdbi, maxdcni, maxdeqi; MSKintt isdef; MSKsoltypee whichsol = MSK_SOL_BAS; int accepted = 1; MSK_getsolutioninf ( task, whichsol, &prosta, &solsta, &primalobj, &maxpbi, &maxpcni, &maxpeqi, &maxinti, &dualobj, &maxdbi, &maxdcni, &maxdeqi); switch(solsta) { case MSK_SOL_STA_OPTIMAL: case MSK_SOL_STA_NEAR_OPTIMAL: { double max_primal_infeas = 0.0; /* maximal primal infeasibility */ double max_dual_infeas = 0.0; /* maximal dual infeasibility */ double obj_gap = fabs(dualobj-primalobj); max_primal_infeas = double_max(max_primal_infeas,maxpbi); max_primal_infeas = double_max(max_primal_infeas,maxpcni); max_primal_infeas = double_max(max_primal_infeas,maxpeqi); max_dual_infeas = double_max(max_dual_infeas,maxdbi); max_dual_infeas = double_max(max_dual_infeas,maxdcni); max_dual_infeas = double_max(max_dual_infeas,maxdeqi); /* Assume the application needs the solution to be within 1e-6 ofoptimality in an absolute sense. Another approach would be looking at the relative objective gap */ printf("Objective gap: %e\n",obj_gap); if (obj_gap > 1e-6) { printf("Warning: The objective gap is too large."); accepted = 0; } printf("Max primal infeasibility: %e\n", max_primal_infeas); printf("Max dual infeasibility: %e\n" , max_dual_infeas); /* We will accept a primal infeasibility of 1e-8 and dual infeasibility of 1e-6 */ if (max_primal_infeas > 1e-8) { printf("Warning: Primal infeasibility is too large"); accepted = 0; } if (max_dual_infeas > 1e-6) { printf("Warning: Dual infeasibility is too large"); accepted = 0; } } if (accepted && r == MSK_RES_OK) { MSKintt numvar,j; MSKrealt *xx = NULL; MSK_getnumvar(task,&numvar); xx = (double *) malloc(numvar*sizeof(MSKrealt)); 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]); free(xx); } else { /* Print detailed information about the solution */ if (r == MSK_RES_OK) r = MSK_analyzesolution(task,MSK_STREAM_LOG,whichsol); } 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"); } MSK_deletetask(&task); MSK_deleteenv(&env); } return r; }
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 */
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 */
int main(int argc,char **argv) { MSKintt r=MSK_RES_OK,i; MSKenv_t env = NULL; MSKtask_t task = NULL; MSKtask_t task_list[NUMTASKS]; /* Ensure that we can delete tasks even if they are not allocated */ task_list[0] = NULL; /* Create mosek environment. */ r = MSK_makeenv(&env,NULL); /* Create a task for each concurrent optimization. The 'task' is the master task that will hold the problem data. */ if ( r==MSK_RES_OK ) r = MSK_maketask(env,0,0,&task); if (r == MSK_RES_OK) r = MSK_maketask(env,0,0,&task_list[0]); /* Assign call-back functions to each task */ if (r == MSK_RES_OK) MSK_linkfunctotaskstream(task, MSK_STREAM_LOG, NULL, printstr1); if (r == MSK_RES_OK) MSK_linkfunctotaskstream(task_list[0], MSK_STREAM_LOG, NULL, printstr2); if (r == MSK_RES_OK) r = MSK_linkfiletotaskstream(task, MSK_STREAM_LOG, "simplex.log", 0); if (r == MSK_RES_OK) r = MSK_linkfiletotaskstream(task_list[0], MSK_STREAM_LOG, "intpnt.log", 0); if (r == MSK_RES_OK) r = MSK_readdata(task,argv[1]); /* Assign different parameter values to each task. In this case different optimizers. */ if (r == MSK_RES_OK) r = MSK_putintparam(task, MSK_IPAR_OPTIMIZER, MSK_OPTIMIZER_PRIMAL_SIMPLEX); if (r == MSK_RES_OK) r = MSK_putintparam(task_list[0], MSK_IPAR_OPTIMIZER, MSK_OPTIMIZER_INTPNT); /* Optimize task and task_list[0] in parallel. The problem data i.e. C, A, etc. is copied from task to task_list[0]. */ if (r == MSK_RES_OK) r = MSK_optimizeconcurrent (task, task_list, NUMTASKS); printf ("Return Code = %d\n",r); MSK_solutionsummary(task, MSK_STREAM_LOG); MSK_deletetask(&task); MSK_deletetask(&task_list[0]); MSK_deleteenv(&env); return r; }
int mosek_qp_optimize(double** G, double* delta, double* alpha, long k, double C, double *dual_obj) { long i,j,t; double *c; MSKlidxt *aptrb; MSKlidxt *aptre; MSKidxt *asub; double *aval; MSKboundkeye bkc[1]; double blc[1]; double buc[1]; MSKboundkeye *bkx; double *blx; double *bux; MSKidxt *qsubi,*qsubj; double *qval; MSKenv_t env; MSKtask_t task; MSKrescodee r; /*double dual_obj;*/ c = (double*) malloc(sizeof(double)*k); assert(c!=NULL); aptrb = (MSKlidxt*) malloc(sizeof(MSKlidxt)*k); assert(aptrb!=NULL); aptre = (MSKlidxt*) malloc(sizeof(MSKlidxt)*k); assert(aptre!=NULL); asub = (MSKidxt*) malloc(sizeof(MSKidxt)*k); assert(asub!=NULL); aval = (double*) malloc(sizeof(double)*k); assert(aval!=NULL); bkx = (MSKboundkeye*) malloc(sizeof(MSKboundkeye)*k); assert(bkx!=NULL); blx = (double*) malloc(sizeof(double)*k); assert(blx!=NULL); bux = (double*) malloc(sizeof(double)*k); assert(bux!=NULL); qsubi = (MSKidxt*) malloc(sizeof(MSKidxt)*(k*(k+1)/2)); assert(qsubi!=NULL); qsubj = (MSKidxt*) malloc(sizeof(MSKidxt)*(k*(k+1)/2)); assert(qsubj!=NULL); qval = (double*) malloc(sizeof(double)*(k*(k+1)/2)); assert(qval!=NULL); /* DEBUG */ /* for (i=0;i<k;i++) { printf("delta: %.4f\n", delta[i]); } printf("G:\n"); for (i=0;i<k;i++) { for (j=0;j<k;j++) { printf("%.4f ", G[i][j]); } printf("\n"); } fflush(stdout); */ /* DEBUG */ for (i=0;i<k;i++) { c[i] = -delta[i]; aptrb[i] = i; aptre[i] = i+1; asub[i] = 0; aval[i] = 1.0; bkx[i] = MSK_BK_LO; blx[i] = 0.0; bux[i] = MSK_INFINITY; } bkc[0] = MSK_BK_UP; blc[0] = -MSK_INFINITY; buc[0] = C; /* bkc[0] = MSK_BK_FX; blc[0] = C; buc[0] = C; */ /* create mosek environment */ r = MSK_makeenv(&env, NULL, NULL, NULL, NULL); /* check return code */ if (r==MSK_RES_OK) { /* directs output to printstr function */ MSK_linkfunctoenvstream(env, MSK_STREAM_LOG, NULL, printstr); } /* initialize the environment */ r = MSK_initenv(env); if (r==MSK_RES_OK) { /* create the optimization task */ r = MSK_maketask(env,1,k,&task); if (r==MSK_RES_OK) { r = MSK_linkfunctotaskstream(task, MSK_STREAM_LOG,NULL,printstr); if (r==MSK_RES_OK) { r = MSK_inputdata(task, 1,k, 1,k, c,0.0, aptrb,aptre, asub,aval, bkc,blc,buc, bkx,blx,bux); } if (r==MSK_RES_OK) { /* coefficients for the Gram matrix */ t = 0; for (i=0;i<k;i++) { for (j=0;j<=i;j++) { qsubi[t] = i; qsubj[t] = j; qval[t] = G[i][j]; t++; } } r = MSK_putqobj(task, k*(k+1)/2, qsubi,qsubj,qval); } /* DEBUG */ /* printf("t: %ld\n", t); for (i=0;i<t;i++) { printf("qsubi: %d, qsubj: %d, qval: %.4f\n", qsubi[i], qsubj[i], qval[i]); } fflush(stdout); */ /* DEBUG */ /* set relative tolerance gap (DEFAULT = 1E-8)*/ //MSK_putdouparam(task, MSK_DPAR_INTPNT_TOL_REL_GAP, 1E-10); MSK_putdouparam(task, MSK_DPAR_INTPNT_TOL_REL_GAP, 1E-14); if (r==MSK_RES_OK) { r = MSK_optimize(task); } if (r==MSK_RES_OK) { MSK_getsolutionslice(task, MSK_SOL_ITR, MSK_SOL_ITEM_XX, 0, k, alpha); /* print out alphas */ /* for (i=0;i<k;i++) { printf("alpha[%ld]: %.8f\n", i, alpha[i]); fflush(stdout); } */ /* output the objective value */ MSK_getprimalobj(task, MSK_SOL_ITR, dual_obj); //printf("ITER DUAL_OBJ %.8g\n", -(*dual_obj)); fflush(stdout); } MSK_deletetask(&task); } MSK_deleteenv(&env); } /* free the memory */ free(c); free(aptrb); free(aptre); free(asub); free(aval); free(bkx); free(blx); free(bux); free(qsubi); free(qsubj); free(qval); if(r == MSK_RES_OK) return(0); else return(r); }
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; 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; }
int main() { char buffer[MSK_MAX_STR_LEN]; double oprfo[NUMOPRO],oprgo[NUMOPRO],oprho[NUMOPRO], oprfc[NUMOPRC],oprgc[NUMOPRC],oprhc[NUMOPRC], c[NUMVAR],aval[NUMANZ], blc[NUMCON],buc[NUMCON],blx[NUMVAR],bux[NUMVAR]; int numopro,numoprc, numcon=NUMCON,numvar=NUMVAR, opro[NUMOPRO],oprjo[NUMOPRO], oprc[NUMOPRC],opric[NUMOPRC],oprjc[NUMOPRC], aptrb[NUMVAR],aptre[NUMVAR],asub[NUMANZ]; MSKboundkeye bkc[NUMCON],bkx[NUMVAR]; MSKenv_t env; MSKrescodee r; MSKtask_t task; schand_t sch; /* Specify nonlinear terms in the objective. */ numopro = NUMOPRO; opro[0] = MSK_OPR_LOG; /* Defined in scopt.h */ oprjo[0] = 2; oprfo[0] = -1.0; oprgo[0] = 1.0; /* This value is never used. */ oprho[0] = 0.0; /* Specify nonlinear terms in the constraints. */ numoprc = NUMOPRC; oprc[0] = MSK_OPR_POW; opric[0] = 0; oprjc[0] = 0; oprfc[0] = 1.0; oprgc[0] = 2.0; oprhc[0] = 0.0; oprc[1] = MSK_OPR_POW; opric[1] = 0; oprjc[1] = 1; oprfc[1] = 1.0; oprgc[1] = 2.0; oprhc[1] = 0.0; /* Specify c */ c[0] = 1.0; c[1] = 0.0; c[2] = 0.0; /* Specify a. */ aptrb[0] = 0; aptrb[1] = 1; aptrb[2] = 2; aptre[0] = 1; aptre[1] = 2; aptre[2] = 3; asub[0] = 1; asub[1] = 1; asub[2] = 1; aval[0] = 1.0; aval[1] = 2.0; aval[2] = -1.0; /* Specify bounds for constraints. */ bkc[0] = MSK_BK_UP; bkc[1] = MSK_BK_FX; blc[0] = -MSK_INFINITY; blc[1] = 0.0; buc[0] = 1.0; buc[1] = 0.0; /* Specify bounds for variables. */ bkx[0] = MSK_BK_FR; bkx[1] = MSK_BK_FR; bkx[2] = MSK_BK_LO; blx[0] = -MSK_INFINITY; blx[1] = -MSK_INFINITY; blx[2] = 0.0; bux[0] = MSK_INFINITY; bux[1] = MSK_INFINITY; bux[2] = MSK_INFINITY; /* Create the mosek environment. */ r = MSK_makeenv(&env,NULL); if ( r==MSK_RES_OK ) { /* Make the optimization task. */ r = MSK_makeemptytask(env,&task); if ( r==MSK_RES_OK ) MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr); if ( r==MSK_RES_OK ) { /* Setup the linear part of the problem. */ r = MSK_inputdata(task, numcon,numvar, numcon,numvar, c,0.0, aptrb,aptre, asub,aval, bkc,blc,buc, bkx,blx,bux); } if ( r== MSK_RES_OK ) { /* Set-up of nonlinear expressions. */ r = MSK_scbegin(task, numopro,opro,oprjo,oprfo,oprgo,oprho, numoprc,oprc,opric,oprjc,oprfc,oprgc,oprhc, &sch); if ( r==MSK_RES_OK ) { printf("Start optimizing\n"); r = MSK_optimize(task); printf("Done optimizing\n"); MSK_solutionsummary(task,MSK_STREAM_MSG); } /* The nonlinear expressions are no longer needed. */ MSK_scend(task,&sch); } MSK_deletetask(&task); } MSK_deleteenv(&env); printf("Return code: %d\n",r); if ( r!=MSK_RES_OK ) { MSK_getcodedesc(r,buffer,NULL); printf("Description: %s\n",buffer); } return r; } /* main */
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) { MSKenv_t env = NULL; MSKtask_t task = NULL; MSKrescodee res = MSK_RES_OK; MSKintt numvar = 0; res = MSK_makeenv(&env, NULL,NULL,NULL,NULL); if (res == MSK_RES_OK) res = MSK_initenv(env); if (res == MSK_RES_OK) res = MSK_maketask(env, 0,0, &task); if (res == MSK_RES_OK) { MSKrealt * c = MSK_calloctask(task, numvar, sizeof(MSKrealt)); MSK_getc(task,c); } if (res == MSK_RES_OK) { MSKrealt * upper_bound = MSK_calloctask(task,8,sizeof(MSKrealt)); MSKrealt * lower_bound = MSK_calloctask(task,8,sizeof(MSKrealt)); MSKboundkeye * bound_key = MSK_calloctask(task,8,sizeof(MSKboundkeye)); MSK_getboundslice(task,MSK_ACC_CON, 2,10, bound_key,lower_bound,upper_bound); } if (res == MSK_RES_OK) { MSKidxt bound_index[] = { 1, 6, 3, 9 }; MSKboundkeye bound_key[] = { MSK_BK_FR, MSK_BK_LO, MSK_BK_UP, MSK_BK_FX }; MSKrealt lower_bound[] = { 0.0, -10.0, 0.0, 5.0 }; MSKrealt upper_bound[] = { 0.0, 0.0, 6.0, 5.0 }; MSK_putboundlist(task,MSK_ACC_CON, 4, bound_index, bound_key,lower_bound,upper_bound); } if (res == MSK_RES_OK) { MSKidxt subi[] = { 1, 3, 5 }; MSKidxt subj[] = { 2, 3, 4 }; MSKrealt cof[] = { 1.1, 4.3, 0.2 }; MSK_putaijlist(task,3, subi,subj,cof); } if (res == MSK_RES_OK) { MSKlintt rowsub[] = { 0, 1, 2, 3 }; MSKlidxt ptrb[] = { 0, 3, 5, 7 }; MSKlidxt ptre[] = { 3, 5, 7, 8 }; MSKlidxt sub[] = { 0, 2, 3, 1, 4, 0, 3, 2 }; MSKrealt cof[] = { 1.1, 1.3, 1.4, 2.2, 2.5, 3.1, 3.4, 4.4 }; MSK_putaveclist (task,MSK_ACC_CON,4, rowsub,ptrb,ptre, sub,cof); } MSK_deletetask(&task); MSK_deleteenv(&env); }