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 */
int main(int argc,char **argv)
{
MSKenv_t env;
MSKtask_t task;
MSKintt NUMCON = 2;
MSKintt NUMVAR = 2;
double c[] = {1.0, 1.0};
MSKintt ptrb[] = {0, 2};
MSKintt ptre[] = {2, 3};
MSKidxt asub[] = {0, 1,
0, 1};
double aval[] = {1.0, 1.0,
2.0, 1.0};
MSKboundkeye bkc[] = {MSK_BK_UP,
MSK_BK_UP};
double blc[] = {-MSK_INFINITY,
-MSK_INFINITY};
double buc[] = {2.0,
6.0};
MSKboundkeye bkx[] = {MSK_BK_LO,
MSK_BK_LO};
double blx[] = {0.0,
0.0};
double bux[] = {+MSK_INFINITY,
+MSK_INFINITY};
MSKrescodee r = MSK_RES_OK;
MSKidxt i,nz;
double w1[] = {2.0,6.0};
double w2[] = {1.0,0.0};
MSKidxt sub[] = {0,1};
MSKidxt *basis;
if (r == MSK_RES_OK)
r = MSK_makeenv(&env,NULL,NULL,NULL,NULL);
if ( r==MSK_RES_OK )
MSK_linkfunctoenvstream(env,MSK_STREAM_LOG,NULL,printstr);
if ( r==MSK_RES_OK )
r = MSK_initenv(env);
if ( r==MSK_RES_OK )
r = MSK_makeemptytask(env,&task);
if ( r==MSK_RES_OK )
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
if ( r == MSK_RES_OK)
r = MSK_inputdata(task, NUMCON,NUMVAR, NUMCON,NUMVAR, c, 0.0,
ptrb, ptre, asub, aval, bkc, blc, buc, bkx, blx, bux);
if (r == MSK_RES_OK)
r = MSK_putobjsense(task,MSK_OBJECTIVE_SENSE_MAXIMIZE);
if (r == MSK_RES_OK)
r = MSK_optimize(task);
if (r == MSK_RES_OK)
basis = MSK_calloctask(task,NUMCON,sizeof(MSKidxt));
if (r == MSK_RES_OK)
r = MSK_initbasissolve(task,basis);
/* List basis variables corresponding to columns of B */
for (i=0;i<NUMCON && r == MSK_RES_OK;++i)
{
printf("basis[%d] = %d\n",i,basis[i]);
if (basis[sub[i]] < NUMCON)
printf ("Basis variable no %d is xc%d.\n",i, basis[i]);
else
printf ("Basis variable no %d is x%d.\n",i,basis[i] - NUMCON);
}
nz = 2;
/* solve Bx = w1 */
/* sub contains index of non-zeros in w1.
On return w1 contains the solution x and sub
the index of the non-zeros in x.
*/
if (r == MSK_RES_OK)
r = MSK_solvewithbasis(task,0,&nz,sub,w1);
if (r == MSK_RES_OK)
{
printf("\nSolution to Bx = w1:\n\n");
/* Print solution and b. */
for (i=0;i<nz;++i)
{
if (basis[sub[i]] < NUMCON)
printf ("xc%d = %e\n",basis[sub[i]] , w1[sub[i]] );
else
printf ("x%d = %e\n",basis[sub[i]] - NUMCON , w1[sub[i]] );
}
}
/* Solve B^Tx = c */
nz = 2;
sub[0] = 0;
sub[1] = 1;
if (r == MSK_RES_OK)
r = MSK_solvewithbasis(task,1,&nz,sub,w2);
if (r == MSK_RES_OK)
{
printf("\nSolution to B^Tx = w2:\n\n");
/* Print solution and y. */
for (i=0;i<nz;++i)
{
if (basis[sub[i]] < NUMCON)
printf ("xc%d = %e\n",basis[sub[i]] , w2[sub[i]] );
else
printf ("x%d = %e\n",basis[sub[i]] - NUMCON , w2[sub[i]] );
}
}
printf("Return code: %d (0 means no error occurred.)\n",r);
return ( r );
}/* main */
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);
}
