[37] | 1 | function output = callfmincon(interfacedata) |
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| 2 | |
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| 3 | % Author Johan Löfberg |
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| 4 | % $Id: callfmincon.m,v 1.33 2006/09/13 12:39:17 joloef Exp $ |
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| 5 | |
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| 6 | % Retrieve needed data |
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| 7 | options = interfacedata.options; |
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| 8 | F_struc = interfacedata.F_struc; |
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| 9 | c = interfacedata.c; |
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| 10 | K = interfacedata.K; |
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| 11 | x0 = interfacedata.x0; |
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| 12 | Q = interfacedata.Q; |
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| 13 | lb = interfacedata.lb; |
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| 14 | ub = interfacedata.ub; |
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| 15 | monomtable = interfacedata.monomtable; |
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| 16 | |
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| 17 | switch options.verbose |
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| 18 | case 0 |
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| 19 | options.fmincon.Display = 'off'; |
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| 20 | case 1 |
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| 21 | options.fmincon.Display = 'final'; |
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| 22 | otherwise |
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| 23 | options.fmincon.Display = 'iter'; |
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| 24 | end |
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| 25 | |
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| 26 | % Do some pre-calc to be used in calls from fmincon |
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| 27 | nonlinearindicies = find(interfacedata.variabletype~=0); |
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| 28 | nonlinearindicies = union(nonlinearindicies,interfacedata.evalVariables); |
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| 29 | linearindicies = find(interfacedata.variabletype==0); |
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| 30 | linearindicies = setdiff(linearindicies,nonlinearindicies); |
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| 31 | interfacedata.nonlinearindicies = nonlinearindicies; |
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| 32 | interfacedata.linearindicies = linearindicies; |
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| 33 | |
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| 34 | % % % Move nonlinear bounds to constraints |
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| 35 | % if ~isempty(lb) |
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| 36 | % finite = find(~isinf(lb(nonlinearindicies))); |
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| 37 | % if ~isempty(finite) |
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| 38 | % temp = F_struc(1:K.f,:); |
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| 39 | % F_struc(1:K.f,:) = []; |
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| 40 | % n = length(c); |
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| 41 | % |
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| 42 | % for i = 1:length(finite) |
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| 43 | % j = nonlinearindicies(i); |
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| 44 | % F_struc = [-lb(j) sparse(1,j,1,1,n);F_struc]; |
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| 45 | % end |
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| 46 | % K.l = K.l + length(finite); |
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| 47 | % F_struc = [temp;F_struc]; |
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| 48 | % interfacedata.K = K; |
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| 49 | % interfacedata.F_struc = F_struc; |
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| 50 | % end |
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| 51 | % end |
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| 52 | % if ~isempty(ub) |
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| 53 | % finite = find(~isinf(lb(nonlinearindicies))); |
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| 54 | % if ~isempty(finite) |
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| 55 | % temp = F_struc(1:K.f,:); |
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| 56 | % F_struc(1:K.f,:) = []; |
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| 57 | % n = length(c); |
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| 58 | % |
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| 59 | % for i = 1:length(finite) |
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| 60 | % j = nonlinearindicies(i); |
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| 61 | % F_struc = [ub(j) -sparse(1,j,1,1,n);F_struc]; |
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| 62 | % end |
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| 63 | % K.l = K.l + length(finite); |
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| 64 | % F_struc = [temp;F_struc]; |
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| 65 | % interfacedata.K = K; |
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| 66 | % interfacedata.F_struc = F_struc; |
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| 67 | % end |
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| 68 | % end |
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| 69 | |
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| 70 | any_constraints = (K.s+K.f+K.l+K.q)>0; |
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| 71 | |
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| 72 | interfacedata.Anonlinineq = []; |
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| 73 | interfacedata.bnonlinineq = []; |
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| 74 | interfacedata.Anonlineq = []; |
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| 75 | interfacedata.bnonlineq = []; |
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| 76 | |
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| 77 | if K.f>0 |
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| 78 | Aeq = -interfacedata.F_struc(1:1:K.f,2:end); |
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| 79 | beq = interfacedata.F_struc(1:1:interfacedata.K.f,1); |
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| 80 | |
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| 81 | nonlinear_equalities_indicies = find(any(Aeq(:,nonlinearindicies),2)); |
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| 82 | interfacedata.Anonlineq = Aeq(nonlinear_equalities_indicies,:); |
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| 83 | interfacedata.bnonlineq = beq(nonlinear_equalities_indicies); |
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| 84 | |
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| 85 | Aeq(nonlinear_equalities_indicies,:) = []; |
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| 86 | beq(nonlinear_equalities_indicies,:) = []; |
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| 87 | Aeq(:,nonlinearindicies) = []; |
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| 88 | interfacedata.F_struc(1:interfacedata.K.f,:) = []; |
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| 89 | interfacedata.K.f = 0; |
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| 90 | else |
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| 91 | Aeq = []; |
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| 92 | beq = []; |
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| 93 | end |
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| 94 | |
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| 95 | if interfacedata.K.l>0 |
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| 96 | A = -interfacedata.F_struc(1:interfacedata.K.l,2:end); |
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| 97 | b = interfacedata.F_struc(1:interfacedata.K.l,1); |
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| 98 | |
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| 99 | nonlinear_inequalities_indicies = find(any(A(:,nonlinearindicies),2)); |
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| 100 | |
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| 101 | interfacedata.Anonlinineq = A(nonlinear_inequalities_indicies,:); |
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| 102 | interfacedata.bnonlinineq = b(nonlinear_inequalities_indicies); |
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| 103 | |
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| 104 | A(nonlinear_inequalities_indicies,:) = []; |
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| 105 | b(nonlinear_inequalities_indicies,:) = []; |
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| 106 | A(:,nonlinearindicies) = []; |
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| 107 | |
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| 108 | interfacedata.F_struc(1:interfacedata.K.l,:) = []; |
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| 109 | interfacedata.K.l = 0; |
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| 110 | else |
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| 111 | A = []; |
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| 112 | b = []; |
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| 113 | end |
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| 114 | |
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| 115 | if isfield(options.fmincon,'LargeScale') |
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| 116 | if isequal(options.fmincon.LargeScale,'off') |
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| 117 | A = full(A); |
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| 118 | b = full(b); |
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| 119 | Aeq = full(Aeq); |
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| 120 | beq = full(beq); |
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| 121 | end |
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| 122 | end |
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| 123 | |
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| 124 | % This helps with robustness in bnb in some cases |
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| 125 | x0candidate = zeros(length(c),1); |
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| 126 | if ~isempty(lb) & ~isempty(lb) |
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| 127 | bounded = find(~isinf(lb) & ~isinf(ub)); |
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| 128 | x0candidate(bounded) = (lb(bounded) + ub(bounded))/2; |
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| 129 | bounded_below = find(~isinf(lb) & isinf(ub)); |
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| 130 | x0candidate(bounded_below) = lb(bounded_below) + 0.5; |
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| 131 | bounded_above = find(~isinf(lb) & isinf(ub)); |
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| 132 | x0candidate(bounded_above) = lb(bounded_above) + 0.5; |
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| 133 | end |
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| 134 | |
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| 135 | if isempty(x0) |
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| 136 | x0 = x0candidate(linearindicies); |
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| 137 | else |
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| 138 | if ~isempty(lb) & ~isempty(ub) |
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| 139 | x0((x0 < lb) | (x0 > ub)) = x0candidate((x0 < lb) | (x0 > ub)); |
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| 140 | end |
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| 141 | x0 = x0(linearindicies); |
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| 142 | end |
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| 143 | |
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| 144 | if ~isempty(lb) |
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| 145 | lb = lb(linearindicies); |
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| 146 | end |
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| 147 | if ~isempty(ub) |
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| 148 | ub = ub(linearindicies); |
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| 149 | end |
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| 150 | |
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| 151 | if options.savedebug |
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| 152 | ops = options.fmincon; |
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| 153 | save fmincondebug interfacedata A b Aeq beq x0 lb ub ops |
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| 154 | end |
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| 155 | |
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| 156 | showprogress('Calling FMINCON',options.showprogress); |
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| 157 | |
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| 158 | % Precalc for the callbacks |
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| 159 | params = setup_fmincon_params(interfacedata); |
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| 160 | if (params.SimpleQuadraticObjective | params.SimpleNonlinearObjective) & isempty(interfacedata.evalMap) |
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| 161 | options.fmincon.GradObj = 'on'; |
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| 162 | end |
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| 163 | params.linearconstraints = isempty(params.interfacedata.evalMap) & isempty(params.interfacedata.Anonlinineq) & isempty(params.interfacedata.Anonlineq) & isequal( params.interfacedata.K.q,0) & isequal( params.interfacedata.K.s,0); |
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| 164 | params.nonlinearinequalities = ~isempty(params.interfacedata.Anonlinineq); |
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| 165 | params.nonlinearequalities = ~isempty(params.interfacedata.Anonlineq); |
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| 166 | |
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| 167 | solvertime = clock; |
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| 168 | [xout,fmin,flag,output,lambda] = fmincon('fmincon_fun',x0,A,b,Aeq,beq,lb,ub,'fmincon_con',options.fmincon,params); |
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| 169 | solvertime = etime(clock,solvertime); |
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| 170 | |
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| 171 | if isempty(nonlinearindicies) |
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| 172 | x = xout(:); |
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| 173 | else |
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| 174 | x = zeros(length(c),1); |
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| 175 | for i = 1:length(linearindicies) |
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| 176 | x(linearindicies(i)) = xout(i); |
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| 177 | end |
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| 178 | x = x(1:length(c)); |
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| 179 | end |
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| 180 | |
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| 181 | problem = 0; |
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| 182 | |
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| 183 | % Internal format for duals |
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| 184 | D_struc = []; |
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| 185 | |
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| 186 | % Check, currently not exhaustive... |
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| 187 | if flag==0 |
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| 188 | problem = 3; |
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| 189 | else |
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| 190 | if flag>0 |
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| 191 | problem = 0; |
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| 192 | else |
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| 193 | if isempty(x) |
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| 194 | x = repmat(nan,length(c),1); |
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| 195 | end |
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| 196 | if 0%any((A*x-b)>sqrt(eps)) | any( abs(Aeq*x-beq)>sqrt(eps)) |
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| 197 | problem = 1; % Likely to be infeasible |
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| 198 | else |
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| 199 | if c'*x<-1e10 % Likely unbounded |
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| 200 | problem = 2; |
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| 201 | else % Probably convergence issues |
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| 202 | problem = 5; |
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| 203 | end |
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| 204 | end |
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| 205 | end |
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| 206 | end |
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| 207 | |
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| 208 | % Save all data sent to solver? |
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| 209 | if options.savesolverinput |
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| 210 | solverinput.A = A; |
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| 211 | solverinput.b = b; |
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| 212 | solverinput.Aeq = Aq; |
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| 213 | solverinput.beq = beq; |
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| 214 | solverinput.options = options.fmincon; |
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| 215 | else |
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| 216 | solverinput = []; |
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| 217 | end |
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| 218 | |
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| 219 | % Save all data from the solver? |
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| 220 | if options.savesolveroutput |
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| 221 | solveroutput.x = x; |
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| 222 | solveroutput.fmin = fmin; |
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| 223 | solveroutput.flag = flag; |
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| 224 | solveroutput.output=output; |
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| 225 | solveroutput.lambda=lambda; |
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| 226 | else |
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| 227 | solveroutput = []; |
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| 228 | end |
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| 229 | |
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| 230 | % Standard interface |
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| 231 | output = createoutput(x,D_struc,[],problem,'FMINCON',solverinput,solveroutput,solvertime); |
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