/*
* s o l v e O Q P b e n c h m a r k
*/
returnValue solveOQPbenchmark( int nQP, int nV,
const real_t* const _H, const real_t* const g,
const real_t* const lb, const real_t* const ub,
BooleanType isSparse,
const Options& options, int& nWSR, real_t& maxCPUtime,
real_t& maxStationarity, real_t& maxFeasibility, real_t& maxComplementarity
)
{
int k;
/* I) SETUP AUXILIARY VARIABLES: */
/* 1) Keep nWSR and store current and maximum number of
* working set recalculations in temporary variables */
int nWSRcur;
int maxNWSR = 0;
real_t CPUtimeLimit = maxCPUtime;
real_t CPUtimeCur = CPUtimeLimit;
real_t stat, feas, cmpl;
maxCPUtime = 0.0;
maxStationarity = 0.0;
maxFeasibility = 0.0;
maxComplementarity = 0.0;
/* 2) Pointers to data of current QP ... */
const real_t* gCur;
const real_t* lbCur;
const real_t* ubCur;
/* 3) Vectors for solution obtained by qpOASES. */
real_t* x = new real_t[nV];
real_t* y = new real_t[nV];
/* 4) Prepare matrix objects */
SymmetricMatrix *H;
if ( isSparse == BT_TRUE )
{
SymSparseMat *Hs;
H = Hs = new SymSparseMat(nV, nV, nV, _H);
Hs->createDiagInfo();
}
else
{
H = new SymDenseMat(nV, nV, nV, const_cast<real_t *>(_H));
}
/* II) SETUP QPROBLEM OBJECT */
QProblemB qp( nV );
qp.setOptions( options );
qp.setPrintLevel( PL_LOW );
/* III) RUN BENCHMARK SEQUENCE: */
returnValue returnvalue;
for( k=0; k<nQP; ++k )
{
/* 1) Update pointers to current QP data. */
gCur = &( g[k*nV] );
lbCur = &( lb[k*nV] );
ubCur = &( ub[k*nV] );
/* 2) Set nWSR and maximum CPU time. */
nWSRcur = nWSR;
CPUtimeCur = CPUtimeLimit;
/* 3) Solve current QP. */
if ( k == 0 )
{
/* initialise */
returnvalue = qp.init( H,gCur,lbCur,ubCur, nWSRcur,&CPUtimeCur );
if ( ( returnvalue != SUCCESSFUL_RETURN ) && ( returnvalue != RET_MAX_NWSR_REACHED ) )
{
delete H; delete[] y; delete[] x;
return THROWERROR( returnvalue );
}
}
else
{
/* hotstart */
returnvalue = qp.hotstart( gCur,lbCur,ubCur, nWSRcur,&CPUtimeCur );
if ( ( returnvalue != SUCCESSFUL_RETURN ) && ( returnvalue != RET_MAX_NWSR_REACHED ) )
{
delete H; delete[] y; delete[] x;
return THROWERROR( returnvalue );
}
}
/* 4) Obtain solution vectors and objective function value ... */
qp.getPrimalSolution( x );
qp.getDualSolution( y );
/* 5) Compute KKT residuals */
getKKTResidual( nV,0, _H,gCur,0,lbCur,ubCur,0,0, x,y, stat,feas,cmpl );
/* 6) update maximum values. */
if ( nWSRcur > maxNWSR )
maxNWSR = nWSRcur;
if (stat > maxStationarity) maxStationarity = stat;
if (feas > maxFeasibility) maxFeasibility = feas;
if (cmpl > maxComplementarity) maxComplementarity = cmpl;
if ( CPUtimeCur > maxCPUtime )
maxCPUtime = CPUtimeCur;
}
delete H; delete[] y; delete[] x;
return SUCCESSFUL_RETURN;
}
int main( )
{
USING_NAMESPACE_QPOASES
long i;
int nWSR;
real_t tic, toc;
real_t errP=0.0, errD=0.0;
real_t *x1 = new real_t[180];
real_t *y1 = new real_t[271];
real_t *x2 = new real_t[180];
real_t *y2 = new real_t[271];
/* create sparse matrices */
SymSparseMat *H = new SymSparseMat(180, 180, H_ir, H_jc, H_val);
SparseMatrix *A = new SparseMatrix(91, 180, A_ir, A_jc, A_val);
H->createDiagInfo();
real_t* H_full = H->full();
real_t* A_full = A->full();
SymDenseMat *Hd = new SymDenseMat(180,180,180,H_full);
DenseMatrix *Ad = new DenseMatrix(91,180,180,A_full);
/* solve with dense matrices */
nWSR = 1000;
QProblem qrecipeD(180, 91);
tic = getCPUtime();
qrecipeD.init(Hd, g, Ad, lb, ub, lbA, ubA, nWSR, 0);
toc = getCPUtime();
qrecipeD.getPrimalSolution(x1);
qrecipeD.getDualSolution(y1);
fprintf(stdFile, "Solved dense problem in %d iterations, %.3f seconds.\n", nWSR, toc-tic);
/* Compute KKT tolerances */
real_t stat, feas, cmpl;
getKKTResidual( 180,91,
H_full,g,A_full,lb,ub,lbA,ubA,
x1,y1,
stat,feas,cmpl
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n\n", stat,feas,cmpl );
/* solve with sparse matrices */
nWSR = 1000;
QProblem qrecipeS(180, 91);
tic = getCPUtime();
qrecipeS.init(H, g, A, lb, ub, lbA, ubA, nWSR, 0);
toc = getCPUtime();
qrecipeS.getPrimalSolution(x2);
qrecipeS.getDualSolution(y2);
fprintf(stdFile, "Solved sparse problem in %d iterations, %.3f seconds.\n", nWSR, toc-tic);
/* Compute KKT tolerances */
real_t stat2, feas2, cmpl2;
getKKTResidual( 180,91,
H_full,g,A_full,lb,ub,lbA,ubA,
x2,y2,
stat2,feas2,cmpl2
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n\n", stat2,feas2,cmpl2 );
/* check distance of solutions */
for (i = 0; i < 180; i++)
if (getAbs(x1[i] - x2[i]) > errP)
errP = getAbs(x1[i] - x2[i]);
fprintf(stdFile, "Primal error: %9.2e\n", errP);
for (i = 0; i < 271; i++)
if (getAbs(y1[i] - y2[i]) > errD)
errD = getAbs(y1[i] - y2[i]);
fprintf(stdFile, "Dual error: %9.2e (might not be unique)\n", errD);
delete H;
delete A;
delete[] H_full;
delete[] A_full;
delete Hd;
delete Ad;
delete[] y2;
delete[] x2;
delete[] y1;
delete[] x1;
QPOASES_TEST_FOR_TRUE( stat <= 1e-15 );
QPOASES_TEST_FOR_TRUE( feas <= 1e-15 );
QPOASES_TEST_FOR_TRUE( cmpl <= 1e-15 );
QPOASES_TEST_FOR_TRUE( stat2 <= 1e-14 );
QPOASES_TEST_FOR_TRUE( feas2 <= 1e-14 );
QPOASES_TEST_FOR_TRUE( cmpl2 <= 1e-13 );
QPOASES_TEST_FOR_TRUE( errP <= 1e-13 );
return TEST_PASSED;
}
/** Example for qpOASES main function using the QProblem class. */
int main( )
{
USING_NAMESPACE_QPOASES
/* Setup data of first QP. */
real_t H[4*4] = { 1.0, 0.0, 0.0, 0.5,
0.0, 1.0, 0.0, 0.0,
0.0, 0.0, 1.0, 0.0,
0.5, 0.0, 0.0, 1.0 };
real_t A[3*4] = { 1.0, 1.0, 0.0, 0.0,
1.0, 1.0, 1.0, 0.0,
1.0, 1.0, 1.0, 1.0 };
real_t g[4] = { 1.5, 1.0, -1.0, -1.0 };
real_t lb[4] = { 0.5, -2.0, 0.0, 0.0 };
real_t ub[4] = { 1.0, 2.0, 1.0, 0.5 };
real_t lbA[3] = { -1.0, -1.0, -1.0 };
real_t ubA[3] = { 0.0, 0.25, 1.0 };
/* Setting up QProblem object. */
QProblem example( 4,3 );
Options options;
example.setOptions( options );
/* Solve first QP. */
int nWSR = 10;
example.init( H,g,A,lb,ub,lbA,ubA, nWSR );
/* Get and print solution of second QP. */
real_t xOpt[4];
real_t yOpt[4+3];
example.getPrimalSolution( xOpt );
example.getDualSolution( yOpt );
print( xOpt,4,"xOpt" );
print( yOpt,4+3,"yOpt" );
printf( "objVal = %e\n\n", example.getObjVal() );
/* Compute KKT tolerances */
real_t stat, feas, cmpl;
getKKTResidual( 4,3,
H,g,A,lb,ub,lbA,ubA,
xOpt,yOpt,
stat,feas,cmpl
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n", stat,feas,cmpl );
QPOASES_TEST_FOR_TRUE( stat <= 1e-15 );
QPOASES_TEST_FOR_TRUE( feas <= 1e-15 );
QPOASES_TEST_FOR_TRUE( cmpl <= 1e-15 );
/* Solve first QP again (with optimal guess for working set). */
Bounds prevBounds;
Constraints prevConstraints;
example.getBounds( prevBounds );
example.getConstraints( prevConstraints );
nWSR = 10;
example.hotstart( g,lb,ub,lbA,ubA, nWSR,0,&prevBounds,&prevConstraints );
/* Get and print solution of second QP. */
example.getPrimalSolution( xOpt );
example.getDualSolution( yOpt );
print( xOpt,4,"xOpt" );
print( yOpt,4+3,"yOpt" );
printf( "objVal = %e\n\n", example.getObjVal() );
/* Compute KKT tolerances */
getKKTResidual( 4,3,
H,g,A,lb,ub,lbA,ubA,
xOpt,yOpt,
stat,feas,cmpl
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n", stat,feas,cmpl );
QPOASES_TEST_FOR_TRUE( stat <= 1e-15 );
QPOASES_TEST_FOR_TRUE( feas <= 1e-15 );
QPOASES_TEST_FOR_TRUE( cmpl <= 1e-15 );
/* Solve first QP again (with inaccurate guess for working set). */
prevBounds.print();
prevBounds.rotate(1);
//prevBounds.moveFixedToFree(0);
prevBounds.print();
prevConstraints.print();
//prevConstraints.moveInactiveToActive(0,ST_LOWER);
prevConstraints.moveActiveToInactive(1);
prevConstraints.print();
nWSR = 10;
example.hotstart( g,lb,ub,lbA,ubA, nWSR,0,&prevBounds,&prevConstraints );
/* Get and print solution of second QP. */
example.getPrimalSolution( xOpt );
example.getDualSolution( yOpt );
print( xOpt,4,"xOpt" );
print( yOpt,4+3,"yOpt" );
printf( "objVal = %e\n\n", example.getObjVal() );
/* Compute KKT tolerances */
getKKTResidual( 4,3,
H,g,A,lb,ub,lbA,ubA,
xOpt,yOpt,
stat,feas,cmpl
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n", stat,feas,cmpl );
QPOASES_TEST_FOR_TRUE( stat <= 1e-15 );
QPOASES_TEST_FOR_TRUE( feas <= 1e-15 );
QPOASES_TEST_FOR_TRUE( cmpl <= 1e-15 );
return TEST_PASSED;
}
/** Example for qpOASES main function using the QProblemB class. */
int main( )
{
USING_NAMESPACE_QPOASES
/* Setup data of first QP. */
real_t H[2*2] = { 1.0, 0.0, 0.0, 0.5 };
real_t g[2] = { 1.5, 1.0 };
real_t lb[2] = { 0.5, -2.0 };
real_t ub[2] = { 5.0, 2.0 };
/* Setup data of second QP. */
real_t g_new[2] = { 1.0, 1.5 };
real_t lb_new[2] = { 0.0, -1.0 };
real_t ub_new[2] = { 5.0, -0.5 };
/* Setting up QProblemB object. */
QProblemB example( 2 );
Options options;
//options.enableFlippingBounds = BT_FALSE;
options.initialStatusBounds = ST_INACTIVE;
options.numRefinementSteps = 1;
options.enableCholeskyRefactorisation = 1;
example.setOptions( options );
/* Solve first QP. */
int nWSR = 10;
example.init( H,g,lb,ub, nWSR,0 );
// printf( "\nnWSR = %d\n\n", nWSR );
real_t xOpt[2];
real_t yOpt[2];
example.getPrimalSolution( xOpt );
example.getDualSolution( yOpt );
/* Compute KKT tolerances */
real_t stat, feas, cmpl;
getKKTResidual( 2,
H,g,lb,ub,
xOpt,yOpt,
stat,feas,cmpl
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n", stat,feas,cmpl );
QPOASES_TEST_FOR_TRUE( stat <= 1e-15 );
QPOASES_TEST_FOR_TRUE( feas <= 1e-15 );
QPOASES_TEST_FOR_TRUE( cmpl <= 1e-15 );
/* Solve second QP. */
nWSR = 10;
example.hotstart( g_new,lb_new,ub_new, nWSR,0 );
// printf( "\nnWSR = %d\n\n", nWSR );
/* Get and print solution of second QP. */
example.getPrimalSolution( xOpt );
example.getDualSolution( yOpt );
printf( "\nxOpt = [ %e, %e ]; objVal = %e\n\n", xOpt[0],xOpt[1],example.getObjVal() );
/* Compute KKT tolerances */
getKKTResidual( 2,
H,g_new,lb_new,ub_new,
xOpt,yOpt,
stat,feas,cmpl
);
printf( "stat = %e\nfeas = %e\ncmpl = %e\n", stat,feas,cmpl );
QPOASES_TEST_FOR_TRUE( stat <= 1e-15 );
QPOASES_TEST_FOR_TRUE( feas <= 1e-15 );
QPOASES_TEST_FOR_TRUE( cmpl <= 1e-15 );
return TEST_PASSED;
}
