1 | function output = callmosek(interfacedata) |
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2 | |
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3 | % Author Johan Löfberg |
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4 | % $Id: callmosek.m,v 1.15 2006/05/22 09:58:52 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 | % ********************************* |
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21 | % What type of variables do we have |
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22 | % ********************************* |
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23 | linear_variables = find((sum(abs(mt),2)==1) & (any(mt==1,2))); |
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24 | nonlinear_variables = setdiff((1:size(mt,1))',linear_variables); |
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25 | sigmonial_variables = find(any(0>mt,2) | any(mt-fix(mt),2)); |
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26 | |
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27 | if ~isempty(sigmonial_variables) | isequal(interfacedata.solver.version,'GEOMETRIC') |
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28 | [x,D_struc,problem,res,solvertime,prob] = call_mosek_geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); |
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29 | else |
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30 | [x,D_struc,problem,res,solvertime,prob] = call_mosek_lpqp(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,integer_variables); |
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31 | end |
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32 | |
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33 | infostr = yalmiperror(problem,'MOSEK'); |
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34 | |
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35 | % Save all data sent to solver? |
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36 | if options.savesolverinput |
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37 | solverinput.prob = prob; |
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38 | else |
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39 | solverinput = []; |
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40 | end |
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41 | |
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42 | % Save all data from the solver? |
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43 | if options.savesolveroutput |
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44 | solveroutput.res = res; |
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45 | else |
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46 | solveroutput = []; |
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47 | end |
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48 | |
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49 | % Standard interface |
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50 | output.Primal = x; |
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51 | output.Dual = D_struc; |
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52 | output.Slack = []; |
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53 | output.problem = problem; |
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54 | output.infostr = infostr; |
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55 | output.solverinput = solverinput; |
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56 | output.solveroutput= solveroutput; |
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57 | output.solvertime = solvertime; |
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58 | |
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59 | |
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60 | function [x,D_struc,problem,res,solvertime,prob] = call_mosek_lpqp(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,integer_variables); |
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61 | |
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62 | prob.c = c; |
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63 | if ~isempty(F_struc) |
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64 | prob.a = -F_struc(:,2:end); |
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65 | prob.buc = full(F_struc(:,1)); |
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66 | prob.blc = repmat(-inf,length(prob.buc),1); |
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67 | else |
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68 | prob.a = sparse(ones(1,length(c))); % Dummy constraint |
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69 | prob.buc = inf; |
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70 | prob.blc = -inf; |
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71 | end |
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72 | if isempty(lb) |
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73 | prob.blx = repmat(-inf,1,length(c)); |
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74 | else |
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75 | prob.blx = lb; |
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76 | end |
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77 | if isempty(ub) |
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78 | prob.bux = repmat(inf,1,length(c)); |
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79 | else |
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80 | prob.bux = ub; |
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81 | end |
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82 | |
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83 | |
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84 | if K.f>0 |
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85 | prob.blc(1:K.f) = prob.buc(1:K.f); |
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86 | end |
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87 | |
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88 | [prob.qosubi,prob.qosubj,prob.qoval] = find(tril(sparse(2*Q))); |
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89 | |
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90 | if K.q(1)>0 |
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91 | nof_new = sum(K.q); |
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92 | prob.a = [prob.a [zeros(K.f,nof_new);zeros(K.l,nof_new);eye(nof_new)]]; |
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93 | prob.a(1+K.f+K.l:end,1:length(c)) = prob.a(1+K.f+K.l:end,1:length(c)); |
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94 | prob.blc(1+K.f+K.l:end) = prob.buc(1+K.f+K.l:end); |
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95 | prob.buc(1+K.f+K.l:end) = prob.buc(1+K.f+K.l:end); |
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96 | prob.c = [prob.c;zeros(nof_new,1)]; |
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97 | top = size(F_struc,2)-1; |
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98 | for i = 1:length(K.q) |
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99 | prob.cones{i}.type = 'MSK_CT_QUAD'; |
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100 | prob.cones{i}.sub = top+1:top+K.q(i); |
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101 | prob.blx(top+1:top+K.q(i)) = -inf; |
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102 | prob.bux(top+1:top+K.q(i)) = inf; |
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103 | top = top + K.q(i); |
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104 | end |
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105 | end |
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106 | |
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107 | if ~isempty(integer_variables) |
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108 | prob.ints.sub = integer_variables; |
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109 | end |
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110 | |
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111 | prob.param = options.mosek.param; |
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112 | |
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113 | % Debug? |
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114 | if options.savedebug |
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115 | save mosekdebug prob |
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116 | end |
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117 | |
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118 | % Call MOSEK |
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119 | solvertime = clock; |
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120 | showprogress('Calling MOSEK',options.showprogress); |
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121 | if options.verbose == 0 |
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122 | [r,res] = mosekopt('minimize echo(0)',prob); |
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123 | else |
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124 | [r,res] = mosekopt('minimize',prob); |
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125 | end |
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126 | solvertime = etime(clock,solvertime); |
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127 | |
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128 | if (r == 1010) | (r == 1011) |
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129 | problem = -5; |
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130 | x = []; |
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131 | D_struc = []; |
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132 | elseif r == 1200 |
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133 | problem = 7; |
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134 | x = []; |
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135 | D_struc = []; |
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136 | else |
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137 | % Recover solutions |
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138 | sol = res.sol; |
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139 | if isempty(integer_variables) |
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140 | x = sol.itr.xx(1:length(c)); % Might have added new ones |
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141 | D_struc = (sol.itr.suc-sol.itr.slc); |
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142 | error_message = sol.itr.prosta; |
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143 | else |
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144 | x = sol.int.xx(1:length(c)); % Might have added new ones |
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145 | D_struc = []; |
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146 | error_message = sol.int.prosta; |
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147 | end |
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148 | |
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149 | switch error_message |
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150 | case {'PRIMAL_AND_DUAL_FEASIBLE','PRIMAL_FEASIBLE'} |
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151 | problem = 0; |
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152 | case 'PRIMAL_INFEASIBLE' |
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153 | problem = 1; |
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154 | case 'DUAL_INFEASIBLE' |
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155 | problem = 2; |
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156 | case 'PRIMAL_INFEASIBLE_OR_UNBOUNDED' |
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157 | problem = 12; |
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158 | otherwise |
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159 | problem = -1; |
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160 | end |
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161 | end |
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162 | |
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163 | |
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164 | |
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165 | function [x,D_struc,problem,res,solvertime,prob] = call_mosek_qclp(options,F_struc,c,Q,K,ub,lb,mt,linear_variables); |
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166 | |
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167 | nonlinear_variables =setdiff(1:length(c),linear_variables); |
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168 | var_prod = []; |
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169 | for i = 1:length(nonlinear_variables) |
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170 | vars = find(mt(nonlinear_variables(i),:)); |
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171 | if length(vars)==1 |
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172 | var_prod = [var_prod;vars vars]; |
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173 | else |
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174 | var_prod = [var_prod;sort(vars)]; |
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175 | end |
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176 | end |
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177 | |
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178 | A = -F_struc(:,1+linear_variables); |
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179 | u_c = full(F_struc(:,1)); |
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180 | l_c = repmat(-inf,length(u_c),1); |
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181 | l_x = lb; |
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182 | u_x = ub; |
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183 | |
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184 | if K.f>0 |
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185 | l_c(1:K.f) = u_c(1:K.f); |
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186 | end |
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187 | |
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188 | prob.c = c(linear_variables);; |
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189 | qcsubk = []; |
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190 | qcsubi = []; |
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191 | qcsubj = []; |
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192 | qcval = []; |
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193 | for k = 1:size(F_struc,1) |
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194 | nonlins = find(F_struc(k,nonlinear_variables+1)); |
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195 | for i = 1:length(nonlins) |
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196 | qcsubk = [qcsubk;k]; |
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197 | qcsubi = [qcsubi;var_prod(nonlins(i),1)]; |
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198 | qcsubj = [qcsubj;var_prod(nonlins(i),2)]; |
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199 | if var_prod(nonlins(i),2)==var_prod(nonlins(i),1) |
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200 | qcval = [qcval;-2*F_struc(k,1+nonlinear_variables(nonlins(i)))]; |
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201 | else |
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202 | qcval = [qcval;-F_struc(k,1+nonlinear_variables(nonlins(i)))]; |
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203 | end |
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204 | end |
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205 | end |
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206 | prob.qcsubk = qcsubk; |
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207 | prob.qcsubi = qcsubi; |
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208 | prob.qcsubj = qcsubj; |
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209 | prob.qcval = qcval; |
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210 | prob.a = A; |
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211 | prob.buc = u_c; |
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212 | |
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213 | |
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214 | % For debugging |
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215 | if options.savedebug |
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216 | save mosekdebug prob |
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217 | end |
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218 | |
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219 | % Call MOSEK |
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220 | solvertime = clock; |
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221 | showprogress('Calling MOSEK',options.showprogress); |
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222 | solvertime = clock; |
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223 | if options.verbose == 0 |
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224 | [r,res] = mosekopt('minimize echo(0)',prob); |
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225 | else |
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226 | [r,res] = mosekopt('minimize',prob); |
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227 | end |
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228 | solvertime = etime(clock,solvertime); |
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229 | |
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230 | x = zeros(length(c),1); |
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231 | x(linear_variables)=res.sol.itr.xx; |
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232 | D_struc = res.sol.itr.suc; |
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233 | if K.f>0 |
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234 | D_struc(1:K.f) = (sol.itr.suc(1:K.f)-sol.itr.slc(1:K.f)); |
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235 | end |
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236 | % Check, currently not exhaustive... |
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237 | switch res.sol.itr.prosta |
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238 | case 'PRIMAL_AND_DUAL_FEASIBLE' |
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239 | problem = 0; |
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240 | case 'PRIMAL_INFEASIBLE' |
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241 | problem = 1; |
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242 | case 'DUAL_INFEASIBLE' |
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243 | problem = 2; |
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244 | otherwise |
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245 | problem = -1; |
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246 | end |
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247 | |
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248 | function [x,D_struc,problem,res,solvertime,prob] = call_mosek_geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); |
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249 | |
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250 | x = []; |
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251 | D_struc = []; |
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252 | res = []; |
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253 | solvertime = 0; |
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254 | [prob,problem] = yalmip2geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); |
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255 | if problem == 0 |
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256 | |
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257 | % Mosek does not support equalities |
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258 | if ~isempty(prob.G) |
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259 | prob.A = [prob.A;prob.G;-prob.G]; |
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260 | prob.b = [prob.b;prob.h;1./prob.h]; |
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261 | prob.map = [prob.map;max(prob.map) + (1:2*length(prob.h))']; |
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262 | end |
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263 | if options.savedebug |
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264 | save mosekdebug prob |
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265 | end |
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266 | |
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267 | prob.param = options.mosek.param; |
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268 | |
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269 | % Call MOSEK |
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270 | solvertime = clock; |
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271 | showprogress('Calling MOSEK',options.showprogress); |
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272 | solvertime = clock; |
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273 | if options.verbose == 0 |
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274 | res = mskgpopt(prob.b,prob.A,prob.map,[],'minimize echo(0)'); |
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275 | else |
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276 | res = mskgpopt(prob.b,prob.A,prob.map,[],'minimize'); |
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277 | end |
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278 | sol = res.sol; |
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279 | solvertime = etime(clock,solvertime); |
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280 | |
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281 | x = zeros(length(c),1); |
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282 | x(linear_variables)=exp(res.sol.itr.xx); |
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283 | D_struc = [];%exp(res.sol.itr.suc); |
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284 | |
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285 | % Check, currently not exhaustive... |
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286 | switch res.sol.itr.prosta |
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287 | case 'PRIMAL_AND_DUAL_FEASIBLE' |
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288 | problem = 0; |
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289 | case 'PRIMAL_INFEASIBLE' |
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290 | problem = 1; |
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291 | case 'DUAL_INFEASIBLE' |
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292 | problem = 2; |
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293 | case 'UNKNOWN' |
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294 | problem = 9; |
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295 | otherwise |
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296 | problem = -1; |
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297 | end |
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298 | end |
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