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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