function [F,failure,cause] = expandmodel(F,h,options) % Author Johan Löfberg % $Id: expandmodel.m,v 1.66 2006/09/13 09:28:51 joloef Exp $ % FIX : Current code experimental, complex, conservative, has issues with % nonlinearities and is slow... % All extended variables in the problem. It is expensive to extract this % one so we will keep it and pass it along in the recursion extendedvariables = yalmip('extvariables'); % Assume success failure = 0; cause = ''; % Early bail out if isempty(extendedvariables) return end % Check if it already has ben expanded already_expanded = expanded(F); if all(already_expanded) if isempty(setdiff(getvariables(h),expanded(h))) return end end % Extract all simple bounds from the model, and update the internal bounds % in YALMIP. This is done in order to get as tighter big-M models if ~isempty(F) nv = yalmip('nvars'); yalmip('setbounds',1:nv,repmat(-inf,nv,1),repmat(inf,nv,1)); LU = getbounds(F); yalmip('setbounds',1:nv,LU(:,1),LU(:,2)); end % Temporary hack to deal with a bug in CPLEX. For the implies operator (and % some more) YALMIP creates a dummy variable x with set(x==1). Cplex fails % to solve problem with these stupid variables kept, hence we need to % remove these variables and constraints... global MARKER_VARIABLES MARKER_VARIABLES = []; % Temporary hack to deal with geometric programs. GPs are messy here, % becasue we can by mistake claim nonconvexity, since we may have no % sigmonial terms but indefinite quadratic term, but the whole problem is % meant to be solved using a GP solver. YES, globals suck, but this is % only temporary...hrm. global DUDE_ITS_A_GP DUDE_ITS_A_GP = 0; % Keep track of expressions that already have been modelled. Note that if a % graph-model already has been constructed but we now require a milp, for % numerical reasons, we should remove the old graph descriptions (important % for MPT models in particular) % FIX: Pre-parse the whole problem etc (solves the issues with GP also) global ALREADY_MODELLED global REMOVE_THESE_IN_THE_END ALREADY_MODELLED = {}; REMOVE_THESE_IN_THE_END = []; % Nonlinear operator variables are not allowed to be used in polynomial % expressions, except if they are exactly modelled, i.e. modelled using % MILP models. We will expand the model and collect variables that are in % polynomials, and check in the end if they are exaclty modelled global OPERATOR_IN_POLYNOM OPERATOR_IN_POLYNOM = []; % All variable indicies used in the problem v1 = getvariables(F); v2 = depends(F); v3 = getvariables(h); v4 = depends(h); % Speed-hack for LARGE-scale dualizations if isequal(v3,v4) & isequal(v1,v2) variables = uniquestripped([v1 v3]); else variables = uniquestripped([v1 v2 v3 v4]); end % Index to variables modeling operators extended = find(ismembc(variables,extendedvariables)); if nargin < 3 options = sdpsettings; end % This is a tweak to allow epxansion of bilinear terms in robust problems, % is expression such as abs(x*w) < 1 for all -1 < w < 1 % This field is set to 1 in robustify and tells YALMIP to skip checking for % polynomial nonconvexity in the propagation if ~isfield(options,'expandbilinear') options.expandbilinear = 0; end % Monomial information. Expensive to retrieve, so we pass this along [monomtable,variabletype] = yalmip('monomtable'); % Is this trivially a GP, or meant to be at least? if strcmpi(options.solver,'gpposy') | strcmpi(options.solver,'fmincon-geometric') | strcmpi(options.solver,'mosek-geometric') DUDE_ITS_A_GP = 1; else if ~isequal(options.solver,'fmincon') & ~isequal(options.solver,'') & ~isequal(options.solver,'mosek') % User has specified some other solver, which does not % support GPs, hence it cannot be intended to be a GP DUDE_ITS_A_GP = 0; else % Check to see if there are any sigmonial terms on top-level DUDE_ITS_A_GP = ~isempty(find(variabletype(variables) == 4)); end end % Constraints generated during recursive process to model operators F_expand = set([]); if isempty(F) F = set([]); end % First, check the objective variables = uniquestripped([depends(h) getvariables(h)]); monomtable = monomtable(:,extendedvariables); % However, some of the variables are already expanded (expand can be called % sequentially from solvemp and solverobust) variables = setdiff(variables,expanded(h)); % Determine if we should aim for MILP model directly if options.allowmilp == 2 method = 'milp'; else method = 'graph'; end if DUDE_ITS_A_GP == 1 options.allowmilp = 0; method = 'graph'; end % ************************************************************************* % OK, looks good. Apply recursive expansion on the objective % ************************************************************************* index_in_extended = find(ismembc(variables,extendedvariables)); if ~isempty(index_in_extended) extstruct = yalmip('extstruct',variables(index_in_extended)); if ~isa(extstruct,'cell') extstruct = {extstruct}; end [F_expand,failure,cause] = expand(index_in_extended,variables,h,F_expand,extendedvariables,monomtable,'objective',0,options,method,extstruct); end % ************************************************************************* % Continue with constraints % ************************************************************************* constraint = 1; all_extstruct = yalmip('extstruct'); while constraint <=length(F) & ~failure if ~already_expanded(constraint) variables = uniquestripped([depends(F(constraint)) getvariables(F(constraint))]); [ix,jx,kx] = find(monomtable(variables,:)); if ~isempty(jx) % Bug in 6.1 if any(kx>1) OPERATOR_IN_POLYNOM = [OPERATOR_IN_POLYNOM extendedvariables(jx(find(kx>1)))]; end end index_in_extended = find(ismembc(variables,extendedvariables)); if ~isempty(index_in_extended) global_index = variables(index_in_extended); local_index = []; for i = 1:length(global_index) local_index = [local_index find(global_index(i) == extendedvariables)]; end extstruct = num2cell(all_extstruct(local_index)); if is(F(constraint),'equality') if options.allowmilp [F_expand,failure,cause] = expand(index_in_extended,variables,-sdpvar(F(constraint)),F_expand,extendedvariables,monomtable,['constraint #' num2str(constraint)],0,options,'milp',extstruct); else failure = 1; cause = ['MILP model required for equality in constraint #' num2str(constraint)]; end else [F_expand,failure,cause] = expand(index_in_extended,variables,-sdpvar(F(constraint)),F_expand,extendedvariables,monomtable,['constraint #' num2str(constraint)],0,options,method,extstruct); end end end constraint = constraint+1; end % ************************************************************************* % Temporary hack to fix the implies operator (cplex has some problem on % these trivial models where a variable only is used in x==1 % FIX: Automatically support this type of nonlinear operators % ************************************************************************* if ~isempty(MARKER_VARIABLES) MARKER_VARIABLES = sort(MARKER_VARIABLES); equalities = find(is(F,'equality')); equalities = equalities(:)'; remove = []; for j = equalities v = getvariables(F(j)); if length(v)==1 if ismembc(v,MARKER_VARIABLES) remove = [remove j]; end end end if ~isempty(remove) F(remove) = []; end end F_expand = lifted(F_expand,1); % ************************************************************************* % We are done. We might have generated some stuff more than once, but % luckily we keep track of these mistakes and remove them in the end (this % happens if we have constraints like set(max(x)<1) + set(max(x)>0) where % the first constraint would genrate a graph-model but the second set % creates a milp model. % ************************************************************************* if ~failure F = F + F_expand; if length(REMOVE_THESE_IN_THE_END) > 0 F = F(find(~ismember(getlmiid(F),REMOVE_THESE_IN_THE_END))); end end % ************************************************************************* % Normally, operators are not allowed in polynomial expressions. We do % however allow this if the variable has been modelled with an exact MILP % model. % ************************************************************************* Final_model = {ALREADY_MODELLED{unique(OPERATOR_IN_POLYNOM)}}; for i = 1:length(Final_model) if ~(strcmp(Final_model{i}.method,'milp') | strcmp(Final_model{i}.method,'none') | options.allownonconvex) failure = 1; cause = 'Nonlinear operator in polynomial expression.'; return end end % declare this model as expanded F = expanded(F,1); function [F_expand,failure,cause] = expand(index_in_extended,variables,expression,F_expand,extendedvariables,monomtable,where,level,options,method,extstruct) global DUDE_ITS_A_GP ALREADY_MODELLED REMOVE_THESE_IN_THE_END OPERATOR_IN_POLYNOM % ************************************************************************* % Go through all parts of expression to check for convexity/concavity % First, a small gateway function before calling the recursive stuff % ************************************************************************* if ~DUDE_ITS_A_GP [ix,jx,kx] = find(monomtable(variables,:)); if ~isempty(jx) % Bug in 6.1 if any(kx>1) OPERATOR_IN_POLYNOM = [OPERATOR_IN_POLYNOM extendedvariables(jx(find(kx>1)))]; end end end failure = 0; j = 1; while j<=length(index_in_extended) & ~failure i = index_in_extended(j); basis = getbasematrix(expression,variables(i)); if all(basis >= 0) [F_expand,failure,cause] = expandrecursive(recover(variables(i)),F_expand,extendedvariables,monomtable,where,level+1,options,method,extstruct{j},'convex'); else [F_expand,failure,cause] = expandrecursive(recover(variables(i)),F_expand,extendedvariables,monomtable,where,level+1,options,method,extstruct{j},'concave'); end j=j+1; end