[37] | 1 | function diagnostic = solvesdp(varargin) |
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| 2 | %SOLVESDP Computes solution to optimization problem |
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| 3 | % |
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| 4 | % DIAGNOSTIC = SOLVESDP(F,h,options) is the common command to |
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| 5 | % solve optimization problems of the following kind |
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| 6 | % |
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| 7 | % min h |
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| 8 | % subject to |
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| 9 | % F >(=) 0 |
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| 10 | % |
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| 11 | % NOTES |
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| 12 | % Desptite the name, SOLVESDP is the interface for solving all |
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| 13 | % supported problem classes (LP, QP, SOCP, SDP, BMI, MILP, MIQP,...) |
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| 14 | % |
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| 15 | % To obtain solution for a variable, use DOUBLE. |
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| 16 | % |
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| 17 | % To obtain dual variable for a constraint, use DUAL. |
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| 18 | % |
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| 19 | % See YALMIPERROR for error codes returned in output. |
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| 20 | % |
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| 21 | % OUTPUT |
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| 22 | % diagnostic : Diagnostic information |
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| 23 | % |
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| 24 | % INPUT |
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| 25 | % F : SET object describing the constraints. Can be []. |
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| 26 | % h : SDPVAR object describing the objective h(x). Can be []. |
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| 27 | % options : Options structure. See SDPSETTINGS. Can be []. |
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| 28 | % |
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| 29 | % EXAMPLE |
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| 30 | % A = randn(15,5);b = rand(15,1)*5;c = randn(5,1); |
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| 31 | % x = sdpvar(5,1); |
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| 32 | % solvesdp(set(A*x<b),c'*x);double(x) |
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| 33 | % |
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| 34 | % See also @SDPVAR/SET, DUAL, @SDPVAR/DOUBLE, SDPSETTINGS, YALMIPERROR |
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| 35 | |
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| 36 | % Author Johan Löfberg |
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| 37 | % $Id: solvesdp.m,v 1.58 2006/08/17 23:11:46 joloef Exp $ |
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| 38 | |
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| 39 | yalmiptime = clock; % Let us see how much time we spend |
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| 40 | |
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| 41 | % Avoid warning |
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| 42 | if length(varargin)>=2 & isa(varargin{2},'double') |
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| 43 | varargin{2} = []; |
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| 44 | end |
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| 45 | |
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| 46 | % Arrrgh, new format with logdet much better, but we have to |
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| 47 | % take care of old code, requires some testing... |
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| 48 | varargin = combatible({varargin{:}}); |
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| 49 | nargin = length(varargin); |
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| 50 | |
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| 51 | % ********************************* |
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| 52 | % CHECK INPUT |
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| 53 | % ********************************* |
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| 54 | if nargin<1 |
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| 55 | help solvesdp |
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| 56 | return |
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| 57 | else |
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| 58 | F = varargin{1}; |
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| 59 | if isa(F,'constraint') |
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| 60 | F = set(F); |
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| 61 | end |
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| 62 | if ~(isempty(F) | isa(F,'lmi')) |
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| 63 | error('First argument (F) should be an lmi object.'); |
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| 64 | end |
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| 65 | end |
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| 66 | |
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| 67 | if nargin>=2 |
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| 68 | h = varargin{2}; |
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| 69 | if isa(h,'double') |
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| 70 | h = []; |
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| 71 | end |
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| 72 | if ~(isempty(h) | isa(h,'sdpvar') | isa(h,'logdet')) |
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| 73 | error('Second argument (the objective function h) should be an sdpvar or logdet object (or empty).'); |
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| 74 | end |
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| 75 | if isa(h,'logdet') |
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| 76 | P = getP(h); |
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| 77 | g = getgain(h); |
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| 78 | if g>0 |
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| 79 | warning('Perhaps you mean -logdet(P)...') |
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| 80 | diagnostic.yalmiptime = etime(clock,yalmiptime); |
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| 81 | diagnostic.solvertime = 0; |
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| 82 | diagnostic.info = yalmiperror(-2,'YALMIP'); |
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| 83 | diagnostic.problem = -2; |
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| 84 | return |
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| 85 | end |
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| 86 | h = getcx(h); |
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| 87 | if isempty(F) |
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| 88 | F = set([]); |
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| 89 | end |
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| 90 | else |
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| 91 | P = []; |
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| 92 | end |
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| 93 | else |
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| 94 | P = []; |
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| 95 | h = []; |
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| 96 | end |
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| 97 | |
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| 98 | if nargin>=3 |
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| 99 | options = varargin{3}; |
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| 100 | if ~(isempty(options) | isa(options,'struct')) |
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| 101 | error('Third argument (options) should be an sdpsettings struct (or empty).'); |
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| 102 | end |
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| 103 | if isempty(options) |
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| 104 | options = sdpsettings; |
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| 105 | end |
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| 106 | else |
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| 107 | options = sdpsettings; |
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| 108 | end |
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| 109 | options.solver = lower(options.solver); |
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| 110 | |
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| 111 | % Call robust solver? |
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| 112 | if length(F) > 0 |
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| 113 | unc_declarations = is(F,'uncertain'); |
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| 114 | if any(unc_declarations) |
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| 115 | diagnostic = solverobust(F(find(~unc_declarations)),h,options,recover(getvariables(sdpvar(F(find(unc_declarations)))))); |
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| 116 | return |
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| 117 | end |
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| 118 | end |
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| 119 | |
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| 120 | if isequal(options.solver,'mpt') | nargin>=4 |
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| 121 | solving_parametric = 1; |
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| 122 | else |
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| 123 | solving_parametric = 0; |
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| 124 | end |
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| 125 | |
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| 126 | % Just for safety |
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| 127 | if isempty(F) & isempty(P) |
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| 128 | F = lmi; |
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| 129 | end |
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| 130 | |
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| 131 | if any(is(F,'sos')) |
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| 132 | error('You have SOS constraints. Perhaps you meant to call SOLVESOS.'); |
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| 133 | end |
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| 134 | |
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| 135 | % Super stupido |
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| 136 | if length(F) == 0 & isempty(h) |
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| 137 | diagnostic.yalmiptime = 0; |
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| 138 | diagnostic.solvertime = 0; |
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| 139 | diagnostic.info = 'No problems detected (YALMIP)'; |
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| 140 | diagnostic.problem = 0; |
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| 141 | diagnostic.dimacs = [NaN NaN NaN NaN NaN NaN]; |
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| 142 | return |
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| 143 | end |
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| 144 | |
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| 145 | % Dualize the problem? |
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| 146 | if options.dualize |
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| 147 | if ~isempty(P) |
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| 148 | error('Cannot dualize problems with logaritmic objective') |
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| 149 | end |
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| 150 | [Fd,objd] = dualize(F,h); |
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| 151 | options.dualize = 0; |
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| 152 | diagnostic = solvesdp(Fd,-objd,options); |
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| 153 | return |
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| 154 | end |
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| 155 | |
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| 156 | % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ |
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| 157 | % DID WE SELECT THE MOMENT SOLVER |
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| 158 | % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ |
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| 159 | if isequal(options.solver,'moment') |
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| 160 | if ~isempty(P) |
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| 161 | error('Cannot dualize problems with logaritmic objective') |
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| 162 | end |
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| 163 | options.solver = options.moment.solver; |
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| 164 | [diagnostic,x,momentdata] = solvemoment(F,h,options,options.moment.order); |
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| 165 | diagnostic.momentdata = momentdata; |
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| 166 | diagnostic.xoptimal = x; |
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| 167 | return |
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| 168 | end |
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| 169 | |
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| 170 | % ****************************************** |
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| 171 | % COMPILE IN GENERALIZED YALMIP FORMAT |
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| 172 | % ****************************************** |
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| 173 | [interfacedata,recoverdata,solver,diagnostic,F,Fremoved] = compileinterfacedata(F,[],P,h,options,0,solving_parametric); |
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| 174 | |
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| 175 | % ****************************************** |
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| 176 | % FAILURE? |
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| 177 | % ****************************************** |
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| 178 | if ~isempty(diagnostic) |
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| 179 | diagnostic.yalmiptime = etime(clock,yalmiptime); |
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| 180 | return |
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| 181 | end |
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| 182 | |
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| 183 | % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ |
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| 184 | % DID WE SELECT THE LMILAB SOLVER WITH A KYP |
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| 185 | % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ |
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| 186 | if strcmpi(solver.tag,'lmilab') & any(is(F,'kyp')) |
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| 187 | [diagnostic,failed] = calllmilabstructure(F,h,options); |
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| 188 | if ~failed % Did this problem pass (otherwise solve using unstructured call) |
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| 189 | diagnostic.yalmiptime = etime(clock,yalmiptime)-diagnostic.solvertime; |
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| 190 | return |
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| 191 | end |
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| 192 | end |
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| 193 | |
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| 194 | % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ |
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| 195 | % DID WE SELECT THE KYPD SOLVER |
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| 196 | % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ |
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| 197 | if strcmpi(solver.tag,'kypd') |
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| 198 | diagnostic = callkypd(F,h,options); |
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| 199 | diagnostic.yalmiptime = etime(clock,yalmiptime)-diagnostic.solvertime; |
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| 200 | return |
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| 201 | end |
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| 202 | |
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| 203 | % ****************************************** |
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| 204 | % DID WE SELECT THE BMILIN SOLVER (obsolete) |
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| 205 | % ****************************************** |
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| 206 | if strcmpi(solver.tag,'bmilin') |
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| 207 | diagnostic = callbmilin(F,h,options); |
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| 208 | return |
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| 209 | end |
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| 210 | |
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| 211 | % ****************************************** |
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| 212 | % DID WE SELECT THE BMIALT SOLVER (obsolete) |
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| 213 | % ****************************************** |
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| 214 | if strcmp(solver.tag,'bmialt') |
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| 215 | diagnostic = callbmialt(F,h,options); |
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| 216 | return |
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| 217 | end |
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| 218 | |
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| 219 | %****************************************** |
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| 220 | % DID WE SELECT THE MPT solver (backwards comb) |
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| 221 | %****************************************** |
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| 222 | if strcmpi(solver.tag,'mpt') | strcmpi(solver.tag,'mpcvx') | strcmpi(solver.tag,'mplcp') |
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| 223 | actually_save_output = interfacedata.options.savesolveroutput; |
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| 224 | interfacedata.options.savesolveroutput = 1; |
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| 225 | if isempty(interfacedata.parametric_variables) |
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| 226 | if (nargin < 4 | ~isa(varargin{4},'sdpvar')) |
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| 227 | error('You must specify parametric variables.') |
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| 228 | else |
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| 229 | interfacedata.parametric_variables = find(ismember(recoverdata.used_variables,getvariables(varargin{4}))); |
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| 230 | if isempty(varargin{5}) |
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| 231 | interfacedata.requested_variables = []; |
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| 232 | else |
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| 233 | interfacedata.requested_variables = []; |
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| 234 | for i = 1:length(varargin{5}) |
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| 235 | interfacedata.requested_variables = [interfacedata.requested_variables;find(ismember(recoverdata.used_variables,getvariables(varargin{5}(i))))]; |
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| 236 | end |
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| 237 | end |
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| 238 | end |
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| 239 | end |
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| 240 | end |
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| 241 | |
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| 242 | % ******************************** |
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| 243 | % TRY TO SOLVE PROBLEM |
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| 244 | % ******************************** |
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| 245 | if options.debug |
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| 246 | eval(['output = ' solver.call '(interfacedata);']); |
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| 247 | else |
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| 248 | try |
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| 249 | eval(['output = ' solver.call '(interfacedata);']); |
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| 250 | catch |
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| 251 | output.Primal = zeros(length(interfacedata.c),1)+NaN; |
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| 252 | output.Dual = []; |
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| 253 | output.Slack = []; |
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| 254 | output.solvertime = nan; |
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| 255 | output.solverinput = []; |
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| 256 | output.solveroutput = []; |
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| 257 | output.problem = 9; |
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| 258 | output.infostr = yalmiperror(output.problem,lasterr); |
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| 259 | end |
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| 260 | end |
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| 261 | |
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| 262 | if options.dimacs |
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| 263 | try |
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| 264 | b = -interfacedata.c; |
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| 265 | c = interfacedata.F_struc(:,1); |
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| 266 | A = -interfacedata.F_struc(:,2:end)'; |
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| 267 | x = output.Dual; |
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| 268 | y = output.Primal; |
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| 269 | % FIX this nonlinear crap (return variable type in |
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| 270 | % compileinterfacedata) |
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| 271 | if options.relax == 0 & any(full(sum(interfacedata.monomtable,2)~=0)) |
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| 272 | if ~isempty(find(sum(interfacedata.monomtable | interfacedata.monomtable,2)>1)) |
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| 273 | for i = 1:size(interfacedata.monomtable,1) |
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| 274 | z(i,1) = prod(y(find(interfacedata.monomtable(i,:)))); |
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| 275 | end |
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| 276 | y = z; |
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| 277 | end |
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| 278 | end |
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| 279 | |
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| 280 | if isfield(output,'Slack') |
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| 281 | s = output.Slack; |
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| 282 | else |
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| 283 | s = []; |
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| 284 | end |
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| 285 | |
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| 286 | dimacs = computedimacs(b,c,A,x,y,s,interfacedata.K); |
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| 287 | catch |
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| 288 | dimacs = [nan nan nan nan nan nan]; |
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| 289 | end |
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| 290 | else |
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| 291 | dimacs = [nan nan nan nan nan nan]; |
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| 292 | end |
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| 293 | |
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| 294 | % ******************************** |
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| 295 | % ORIGINAL COORDINATES |
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| 296 | % ******************************** |
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| 297 | output.Primal = recoverdata.x_equ+recoverdata.H*output.Primal; |
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| 298 | |
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| 299 | % ******************************** |
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| 300 | % OUTPUT |
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| 301 | % ******************************** |
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| 302 | diagnostic.yalmiptime = etime(clock,yalmiptime)-output.solvertime; |
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| 303 | diagnostic.solvertime = output.solvertime; |
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| 304 | diagnostic.info = yalmiperror(output.problem,solver.tag); |
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| 305 | diagnostic.problem = output.problem; |
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| 306 | diagnostic.dimacs = dimacs; |
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| 307 | |
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| 308 | % Some more info is saved internally |
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| 309 | solution_internal = diagnostic; |
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| 310 | solution_internal.variables = recoverdata.used_variables(:); |
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| 311 | solution_internal.optvar = output.Primal; |
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| 312 | |
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| 313 | if ~isempty(interfacedata.parametric_variables) |
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| 314 | diagnostic.mpsol = output.solveroutput; |
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| 315 | options.savesolveroutput = actually_save_output; |
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| 316 | end; |
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| 317 | |
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| 318 | if interfacedata.options.savesolveroutput |
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| 319 | diagnostic.solveroutput = output.solveroutput; |
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| 320 | end |
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| 321 | if interfacedata.options.savesolverinput |
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| 322 | diagnostic.solverinput = output.solverinput; |
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| 323 | end |
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| 324 | |
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| 325 | if options.warning & warningon & isempty(findstr(output.infostr,'No problems detected')) |
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| 326 | disp(['Warning: ' output.infostr]); |
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| 327 | end |
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| 328 | |
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| 329 | if ismember(output.problem,options.beeponproblem) |
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| 330 | try |
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| 331 | beep; % does not exist on all ML versions |
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| 332 | catch |
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| 333 | end |
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| 334 | end |
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| 335 | |
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| 336 | % And we are done! Save the result |
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| 337 | if ~isempty(output.Primal) |
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| 338 | yalmip('setsolution',solution_internal); |
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| 339 | end |
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| 340 | if interfacedata.options.saveduals & solver.dual |
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| 341 | if isempty(interfacedata.Fremoved) | (nnz(interfacedata.Q)>0) |
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| 342 | setduals(F,output.Dual,interfacedata.K); |
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| 343 | else |
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| 344 | try |
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| 345 | % Duals related to equality constraints/free variables |
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| 346 | % have to be recovered b-A*x-Ht == 0 |
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| 347 | b = -interfacedata.oldc; |
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| 348 | A = -interfacedata.oldF_struc(1+interfacedata.oldK.f:end,2:end)'; |
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| 349 | H = -interfacedata.oldF_struc(1:interfacedata.oldK.f,2:end)'; |
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| 350 | x = output.Dual; |
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| 351 | b_equ = b-A*x; |
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| 352 | newdual = H\b_equ; |
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| 353 | setduals(interfacedata.Fremoved + F,[newdual;output.Dual],interfacedata.oldK); |
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| 354 | catch |
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| 355 | % this is a new feature... |
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| 356 | disp('Dual recovery failed. Please report this issue.'); |
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| 357 | end |
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| 358 | end |
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| 359 | end |
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| 360 | |
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| 361 | function newinputformat = combatible(varargin) |
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| 362 | |
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| 363 | varargin = varargin{1}; |
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| 364 | |
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| 365 | classification = 0; |
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| 366 | % 0 : Ambigious |
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| 367 | % 1 : Old |
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| 368 | % 2 : New |
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| 369 | |
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| 370 | % Try some fast methods to determine... |
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| 371 | m = length(varargin); |
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| 372 | if m==1 |
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| 373 | classification = 2; |
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| 374 | elseif m>=3 & isstruct(varargin{3}) |
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| 375 | classification = 2; |
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| 376 | elseif m>=4 & isstruct(varargin{4}) |
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| 377 | classification = 1; |
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| 378 | elseif m>=2 & isa(varargin{2},'lmi') |
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| 379 | classification = 1; |
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| 380 | elseif m>=3 & isa(varargin{3},'sdpvar') |
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| 381 | classification = 1; |
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| 382 | elseif m>=2 & isa(varargin{2},'sdpvar') & min(size(varargin{2}))==1 |
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| 383 | classification = 2; |
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| 384 | elseif m>=2 & isa(varargin{2},'sdpvar') & prod(size(varargin{2}))>=1 |
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| 385 | classification = 1; |
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| 386 | elseif m>=2 & isa(varargin{2},'logdet') |
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| 387 | classification = 2; |
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| 388 | elseif m==2 & isempty(varargin{2}) |
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| 389 | classification = 2; |
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| 390 | end |
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| 391 | |
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| 392 | if classification==0 |
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| 393 | warning('I might have interpreted this problem wrong due to the new input format in version 3. To get rid of this warning, use an options structure'); |
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| 394 | classification = 2; |
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| 395 | end |
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| 396 | |
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| 397 | if classification==2 |
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| 398 | newinputformat = varargin; |
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| 399 | else |
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| 400 | newinputformat = varargin; |
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| 401 | P = varargin{2}; |
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| 402 | % 99.9% of the cases.... |
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| 403 | if isempty(P) |
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| 404 | newinputformat = {newinputformat{[1 3:end]}}; |
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| 405 | else |
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| 406 | if isa(P,'lmi') |
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| 407 | P = sdpvar(P); |
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| 408 | end |
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| 409 | if m>=3 |
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| 410 | cxP = newinputformat{3}-logdet(P); |
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| 411 | newinputformat{3}=cxP; |
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| 412 | else |
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| 413 | cxP = -logdet(P); |
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| 414 | newinputformat{3}=cxP; |
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| 415 | end |
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| 416 | newinputformat = {newinputformat{[1 3:end]}}; |
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| 417 | end |
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| 418 | end |
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| 419 | |
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| 420 | function yesno = warningon |
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| 421 | |
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| 422 | s = warning; |
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| 423 | yesno = isequal(s,'on'); |
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