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authorHarpreet2015-09-23 18:22:28 +0530
committerHarpreet2015-09-23 18:22:28 +0530
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+// Copyright (C) 2015 - IIT Bombay - FOSSEE
+//
+// Author: Harpreet Singh
+// Organization: FOSSEE, IIT Bombay
+// Email: harpreet.mertia@gmail.com
+// This file must be used under the terms of the CeCILL.
+// This source file is licensed as described in the file COPYING, which
+// you should have received as part of this distribution. The terms
+// are also available at
+// http://www.cecill.info/licences/Licence_CeCILL_V2-en.txt
+
+
+function [xopt,fopt,exitflag,output,lambda] = qpipopt (varargin)
+ // Solves a linear quadratic problem.
+ //
+ // Calling Sequence
+ // xopt = qpipopt(nbVar,nbCon,Q,p,LB,UB,conMatrix,conLB,conUB)
+ // [xopt,fopt,exitflag,output,lamda] = qpipopt( ... )
+ //
+ // Parameters
+ // nbVar : a 1 x 1 matrix of doubles, number of variables
+ // nbCon : a 1 x 1 matrix of doubles, number of constraints
+ // Q : a n x n matrix of doubles, where n is number of variables, represents coefficients of quadratic in the quadratic problem.
+ // p : a 1 x n matrix of doubles, where n is number of variables, represents coefficients of linear in the quadratic problem
+ // LB : a 1 x n matrix of doubles, where n is number of variables, contains lower bounds of the variables.
+ // UB : a 1 x n matrix of doubles, where n is number of variables, contains upper bounds of the variables.
+ // conMatrix : a m x n matrix of doubles, where n is number of variables and m is number of constraints, contains matrix representing the constraint matrix
+ // conLB : a m x 1 matrix of doubles, where m is number of constraints, contains lower bounds of the constraints.
+ // conUB : a m x 1 matrix of doubles, where m is number of constraints, contains upper bounds of the constraints.
+ // xopt : a 1xn matrix of doubles, the computed solution of the optimization problem.
+ // fopt : a 1x1 matrix of doubles, the function value at x.
+ // exitflag : Integer identifying the reason the algorithm terminated.
+ // output : Structure containing information about the optimization.
+ // lambda : Structure containing the Lagrange multipliers at the solution x (separated by constraint type).
+ //
+ // Description
+ // Search the minimum of a constrained linear quadratic optimization problem specified by :
+ // find the minimum of f(x) such that
+ //
+ // <latex>
+ // \begin{eqnarray}
+ // &\mbox{min}_{x}
+ // & 1/2*x'*Q*x + p'*x \\
+ // & \text{subject to} & conLB \leq C(x) \leq conUB \\
+ // & & lb \leq x \leq ub \\
+ // \end{eqnarray}
+ // </latex>
+ //
+ // We are calling IPOpt for solving the quadratic problem, IPOpt is a library written in C++. The code has been written by ​Andreas Wächter and ​Carl Laird.
+ //
+ // Examples
+ // //Find x in R^6 such that:
+ //
+ // conMatrix= [1,-1,1,0,3,1;
+ // -1,0,-3,-4,5,6;
+ // 2,5,3,0,1,0
+ // 0,1,0,1,2,-1;
+ // -1,0,2,1,1,0];
+ // conLB=[1 2 3 -%inf -%inf]';
+ // conUB = [1 2 3 -1 2.5]';
+ // //with x between ci and cs:
+ // lb=[-1000 -10000 0 -1000 -1000 -1000];
+ // ub=[10000 100 1.5 100 100 1000];
+ // //and minimize 0.5*x'*Q*x + p'*x with
+ // p=[1 2 3 4 5 6]; Q=eye(6,6);
+ // nbVar = 6;
+ // nbCon = 5;
+ // [xopt,fopt,exitflag,output,lambda]=qpipopt(nbVar,nbCon,Q,p,lb,ub,conMatrix,conLB,conUB)
+ //
+ // Examples
+ // //min. -8*x1 -16*x2 + x1^2 + 4* x2^2
+ // // such that
+ // // x1 + x2 <= 5,
+ // // x1 <= 3,
+ // // x1 >= 0,
+ // // x2 >= 0
+ // conMatrix= [1 1];
+ // conLB=[-%inf];
+ // conUB = [5];
+ // //with x between ci and cs:
+ // lb=[0,0];
+ // ub=[3,%inf];
+ // //and minimize 0.5*x'*Q*x + p'*x with
+ // p=[-8,-16];
+ // Q=[1,0;0,4];
+ // nbVar = 2;
+ // nbCon = 1;
+ // [xopt,fopt,exitflag,output,lambda] = qpipopt(nbVar,nbCon,Q,p,lb,ub,conMatrix,conLB,conUB)
+ //
+ // Authors
+ // Keyur Joshi, Saikiran, Iswarya, Harpreet Singh
+
+
+//To check the number of input and output argument
+ [lhs , rhs] = argn();
+
+//To check the number of argument given by user
+ if ( rhs ~= 9 ) then
+ errmsg = msprintf(gettext("%s: Unexpected number of input arguments : %d provided while should be 9"), "qpipopt", rhs);
+ error(errmsg)
+ end
+
+
+ nbVar = varargin(1);
+ nbCon = varargin(2);
+ Q = varargin(3);
+ p = varargin(4);
+ LB = varargin(5);
+ UB = varargin(6);
+ conMatrix = varargin(7);
+ conLB = varargin(8);
+ conLB = conLB'; //IPOpt wants it in row matrix form
+ conUB = varargin(9);
+ conUB = conUB'; //IPOpt wants it in row matrix form
+
+ //Check the size of Q which should equal to the number of variable
+ if ( size(Q) ~= [nbVar nbVar]) then
+ errmsg = msprintf(gettext("%s: The Size of Q is not equal to the number of variables"), "qpipopt");
+ error(errmsg);
+ end
+
+ //Check the size of p which should equal to the number of variable
+ if ( size(p,2) ~= [nbVar]) then
+ errmsg = msprintf(gettext("%s: The Size of p is not equal to the number of variables"), "qpipopt");
+ error(errmsg);
+ end
+
+
+//Check the size of constraint which should equal to the number of constraints
+ if ( size(conMatrix,1) ~= nbCon) then
+ errmsg = msprintf(gettext("%s: The Lower Bound is not equal to the number of variables"), "qpipopt");
+ error(errmsg);
+ end
+
+//Check the size of Lower Bound which should equal to the number of variables
+ if ( size(LB,2) ~= nbVar) then
+ errmsg = msprintf(gettext("%s: The Lower Bound is not equal to the number of variables"), "qpipopt");
+ error(errmsg);
+ end
+
+//Check the size of Upper Bound which should equal to the number of variables
+ if ( size(UB,2) ~= nbVar) then
+ errmsg = msprintf(gettext("%s: The Upper Bound is not equal to the number of variables"), "qpipopt");
+ error(errmsg);
+ end
+
+//Check the size of constraints of Lower Bound which should equal to the number of constraints
+ if ( size(conLB,2) ~= nbCon) then
+ errmsg = msprintf(gettext("%s: The Lower Bound of constraints is not equal to the number of constraints"), "qpipopt");
+ error(errmsg);
+ end
+
+//Check the size of constraints of Upper Bound which should equal to the number of constraints
+ if ( size(conUB,2) ~= nbCon) then
+ errmsg = msprintf(gettext("%s: The Upper Bound of constraints is not equal to the number of constraints"), "qp_ipopt");
+ error(errmsg);
+ end
+
+ [xopt,fopt,status,iter,Zl,Zu,lmbda] = solveqp(nbVar,nbCon,Q,p,conMatrix,conLB,conUB,LB,UB);
+
+ xopt = xopt';
+ exitflag = status;
+ output = struct("Iterations" , []);
+ output.Iterations = iter;
+ lambda = struct("lower" , [], ..
+ "upper" , [], ..
+ "constraint" , []);
+
+ lambda.lower = Zl;
+ lambda.upper = Zu;
+ lambda.constraint = lmbda;
+
+
+endfunction