[37] | 1 | function output = callfmincongp(interfacedata) |
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| 2 | |
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| 3 | % Author Johan Löfberg |
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| 4 | % $Id: callfmincongp.m,v 1.15 2006/07/28 06:27:01 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 | Q = interfacedata.Q; |
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| 11 | K = interfacedata.K; |
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| 12 | x0 = interfacedata.x0; |
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| 13 | integer_variables = interfacedata.integer_variables; |
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| 14 | binary_variables = interfacedata.binary_variables; |
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| 15 | extended_variables = interfacedata.extended_variables; |
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| 16 | ub = interfacedata.ub; |
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| 17 | lb = interfacedata.lb; |
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| 18 | mt = interfacedata.monomtable; |
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| 19 | |
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| 20 | switch options.verbose |
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| 21 | case 0 |
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| 22 | options.fmincon.Display = 'off'; |
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| 23 | case 1 |
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| 24 | options.fmincon.Display = 'final'; |
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| 25 | otherwise |
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| 26 | options.fmincon.Display = 'iter'; |
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| 27 | end |
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| 28 | |
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| 29 | % ********************************* |
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| 30 | % What type of variables do we have |
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| 31 | % ********************************* |
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| 32 | linear_variables = find((sum(abs(mt),2)==1) & (any(mt==1,2))); |
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| 33 | nonlinear_variables = setdiff((1:size(mt,1))',linear_variables); |
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| 34 | sigmonial_variables = find(any(0>mt,2) | any(mt-fix(mt),2)); |
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| 35 | |
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| 36 | % Convert to common format for fmincon, mosek and gpposy |
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| 37 | [prob,problem] = yalmip2geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); |
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| 38 | |
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| 39 | %something failed, perhaps a QP |
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| 40 | if problem & isempty(sigmonial_variables) |
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| 41 | % This is an LP or QP! |
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| 42 | % Go to standard fmincon |
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| 43 | if options.verbose |
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| 44 | disp('Conversion to geometric program failed. Trying general non-convex model in fmincon'); |
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| 45 | disp(' '); |
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| 46 | end |
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| 47 | interfacedata.solver.tag = strrep(interfacedata.solver.tag,'-geometric',''); |
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| 48 | output = callfmincon(interfacedata); |
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| 49 | return |
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| 50 | end |
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| 51 | |
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| 52 | if problem == 0 |
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| 53 | |
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| 54 | fmincon_fungp([],[],[],prob); % initialize persistent |
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| 55 | fmincon_congp([],[],[],prob); % initialize persistent |
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| 56 | |
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| 57 | if isempty(x0) |
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| 58 | x0 = zeros(length(linear_variables),1); |
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| 59 | else |
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| 60 | x0 = x0(linear_variables); |
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| 61 | end |
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| 62 | |
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| 63 | % Fake logarithm (extend linearly for small values) |
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| 64 | ind = find(x0<1e-2); |
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| 65 | x0(ind) = exp(log(1e-2)+(x0(ind)-1e-2)/1e-2); |
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| 66 | x0 = log(x0); |
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| 67 | |
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| 68 | % Clean up the bounds (from branch and bound) |
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| 69 | % Note, these bounds are in the |
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| 70 | % logarithmic variables. |
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| 71 | if ~isempty(lb) |
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| 72 | lb = lb(linear_variables); |
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| 73 | ind = find(lb<1e-2); |
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| 74 | lb(ind) = exp(log(1e-2)+(lb(ind)-1e-2)/1e-2); |
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| 75 | lb = log(lb+sqrt(eps)); |
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| 76 | end |
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| 77 | if ~isempty(ub) |
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| 78 | ub = ub(linear_variables); |
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| 79 | ind = find(ub<1e-2); |
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| 80 | ub(ind) = exp(log(1e-2)+(ub(ind)-1e-2)/1e-2); |
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| 81 | ub = log(ub+sqrt(eps)); |
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| 82 | end |
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| 83 | |
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| 84 | if options.savedebug |
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| 85 | ops = options.fmincon; |
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| 86 | save fmincongpdebug prob x0 ops lb ub |
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| 87 | end |
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| 88 | |
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| 89 | solvertime = clock; |
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| 90 | options.fmincon.GradObj = 'on'; |
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| 91 | options.fmincon.GradConstr = 'off'; |
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| 92 | if isfield(options.fmincon,'tlprob') |
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| 93 | [xout,fmin,flag,output,lambda] = fmincon('fmincon_fungp',x0,[],[],[],[],lb,ub,'fmincon_congp',options.fmincon,options.fmincon.tlprob); |
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| 94 | else |
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| 95 | [xout,fmin,flag,output,lambda] = fmincon('fmincon_fungp',x0,[],[],[],[],lb,ub,'fmincon_congp',options.fmincon); |
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| 96 | end |
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| 97 | solvertime = etime(clock,solvertime); |
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| 98 | |
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| 99 | x = zeros(length(c),1); |
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| 100 | x(linear_variables) = exp(xout); |
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| 101 | problem = 0; |
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| 102 | % Check, currently not exhaustive... |
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| 103 | if flag==0 |
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| 104 | problem = 3; |
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| 105 | else |
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| 106 | if flag>0 |
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| 107 | problem = 0; |
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| 108 | else |
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| 109 | if isempty(x) |
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| 110 | x = repmat(nan,length(c),1); |
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| 111 | end |
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| 112 | if 0%any((A*x-b)>sqrt(eps)) | any( abs(Aeq*x-beq)>sqrt(eps)) |
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| 113 | problem = 1; % Likely to be infeasible |
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| 114 | else |
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| 115 | if c'*x<-1e10 % Likely unbounded |
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| 116 | problem = 2; |
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| 117 | else % Probably convergence issues |
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| 118 | problem = 5; |
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| 119 | end |
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| 120 | end |
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| 121 | end |
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| 122 | end |
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| 123 | else |
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| 124 | x = []; |
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| 125 | solvertime = 0; |
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| 126 | end |
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| 127 | |
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| 128 | % Internal format for duals (currently not supported in GP) |
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| 129 | D_struc = []; |
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| 130 | |
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| 131 | infostr = yalmiperror(problem,interfacedata.solver.tag); |
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| 132 | |
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| 133 | if options.savesolverinput |
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| 134 | solverinput.A = []; |
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| 135 | solverinput.b = []; |
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| 136 | solverinput.Aeq = []; |
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| 137 | solverinput.beq = []; |
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| 138 | solverinput.options = options.fmincon; |
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| 139 | else |
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| 140 | solverinput = []; |
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| 141 | end |
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| 142 | |
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| 143 | % Save all data from the solver? |
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| 144 | if options.savesolveroutput |
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| 145 | solveroutput.x = x; |
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| 146 | solveroutput.fmin = fmin; |
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| 147 | solveroutput.flag = flag; |
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| 148 | solveroutput.output=output; |
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| 149 | solveroutput.lambda=lambda; |
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| 150 | else |
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| 151 | solveroutput = []; |
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| 152 | end |
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| 153 | |
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| 154 | % Standard interface |
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| 155 | output.Primal = x; |
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| 156 | output.Dual = D_struc; |
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| 157 | output.Slack = []; |
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| 158 | output.problem = problem; |
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| 159 | output.infostr = infostr; |
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| 160 | output.solverinput = solverinput; |
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| 161 | output.solveroutput= solveroutput; |
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| 162 | output.solvertime = solvertime; |
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