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Diffstat (limited to 'macros/qpipoptmat.sci')
| -rw-r--r-- | macros/qpipoptmat.sci | 489 |
1 files changed, 258 insertions, 231 deletions
diff --git a/macros/qpipoptmat.sci b/macros/qpipoptmat.sci index d019aa1..f501094 100644 --- a/macros/qpipoptmat.sci +++ b/macros/qpipoptmat.sci @@ -32,13 +32,13 @@ function [xopt,fopt,exitflag,output,lambda] = qpipoptmat (varargin) // lb : a vector of double, contains lower bounds of the variables. // ub : a vector of double, contains upper bounds of the variables. // x0 : a vector of double, contains initial guess of variables. - // param : a list containing the the parameters to be set. + // param : a list containing the parameters to be set. // xopt : a vector of double, the computed solution of the optimization problem. - // fopt : a double, the function value at x. + // fopt : a double, the value of the function at x. // residual : a vector of double, solution residuals returned as the vector d-C*x. - // exitflag : A flag showing returned exit flag from Ipopt. It could be 0, 1 or 2 etc. i.e. Optimal, Maximum Number of Iterations Exceeded, CPU time exceeded. Other flags one can see in the lsqlin macro. - // output : Structure containing information about the optimization. This version only contains number of iterations. - // lambda : Structure containing the Lagrange multipliers at the solution x (separated by constraint type).It contains lower, upper bound multiplier and linear equality, inequality constraint multiplier. + // exitflag : The exit status. See below for details. + // output : The structure consist of statistics about the optimization. See below for details. + // lambda : The structure consist of the Lagrange multipliers at the solution of problem. See below for details. // // Description // Search the minimum of a constrained linear quadratic optimization problem specified by : @@ -55,6 +55,35 @@ function [xopt,fopt,exitflag,output,lambda] = qpipoptmat (varargin) // // The routine calls Ipopt for solving the quadratic problem, Ipopt is a library written in C++. // + // The exitflag allows to know the status of the optimization which is given back by Ipopt. + // <itemizedlist> + // <listitem>exitflag=0 : Optimal Solution Found </listitem> + // <listitem>exitflag=1 : Maximum Number of Iterations Exceeded. Output may not be optimal.</listitem> + // <listitem>exitflag=2 : Maximum CPU Time exceeded. Output may not be optimal.</listitem> + // <listitem>exitflag=3 : Stop at Tiny Step.</listitem> + // <listitem>exitflag=4 : Solved To Acceptable Level.</listitem> + // <listitem>exitflag=5 : Converged to a point of local infeasibility.</listitem> + // </itemizedlist> + // + // For more details on exitflag see the ipopt documentation, go to http://www.coin-or.org/Ipopt/documentation/ + // + // The output data structure contains detailed informations about the optimization process. + // It has type "struct" and contains the following fields. + // <itemizedlist> + // <listitem>output.iterations: The number of iterations performed during the search</listitem> + // <listitem>output.constrviolation: The max-norm of the constraint violation.</listitem> + // </itemizedlist> + // + // The lambda data structure contains the Lagrange multipliers at the end + // of optimization. In the current version the values are returned only when the the solution is optimal. + // It has type "struct" and contains the following fields. + // <itemizedlist> + // <listitem>lambda.lower: The Lagrange multipliers for the lower bound constraints.</listitem> + // <listitem>lambda.upper: The Lagrange multipliers for the upper bound constraints.</listitem> + // <listitem>lambda.eqlin: The Lagrange multipliers for the linear equality constraints.</listitem> + // <listitem>lambda.ineqlin: The Lagrange multipliers for the linear inequality constraints.</listitem> + // </itemizedlist> + // // Examples // //Ref : example 14 : // //https://www.me.utexas.edu/~jensen/ORMM/supplements/methods/nlpmethod/S2_quadratic.pdf @@ -94,15 +123,15 @@ function [xopt,fopt,exitflag,output,lambda] = qpipoptmat (varargin) // 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 < 2 | rhs == 3 | rhs == 5 | rhs == 7 | rhs > 10 ) then - errmsg = msprintf(gettext("%s: Unexpected number of input arguments : %d provided while should be in the set of [2 4 6 8 9 10]"), "qpipoptmat", rhs); - error(errmsg) - end - + //To check the number of input and output argument + [lhs , rhs] = argn(); + + //To check the number of argument given by user + if ( rhs < 2 | rhs == 3 | rhs == 5 | rhs == 7 | rhs > 10 ) then + errmsg = msprintf(gettext("%s: Unexpected number of input arguments : %d provided while should be in the set of [2 4 6 8 9 10]"), "qpipoptmat", rhs); + error(errmsg) + end + H = []; f = []; A = []; @@ -116,242 +145,240 @@ function [xopt,fopt,exitflag,output,lambda] = qpipoptmat (varargin) f = varargin(2); nbVar = size(H,1); - - if ( rhs<3 ) then - A = [] - b = [] - else - A = varargin(3); - b = varargin(4); - end - - if ( rhs<5 ) then - Aeq = [] - beq = [] - else - Aeq = varargin(5); - beq = varargin(6); - end - - if ( rhs<7 ) then - lb = repmat(-%inf,nbVar,1); - ub = repmat(%inf,nbVar,1); - else - lb = varargin(7); - ub = varargin(8); - end - - - if ( rhs<9 | size(varargin(9)) ==0 ) then - x0 = repmat(0,nbVar,1) - else - x0 = varargin(9); - end - - if ( rhs<10 | size(varargin(10)) ==0 ) then - param = list(); - else - param =varargin(10); - end - - if (size(lb,2)==0) then - lb = repmat(-%inf,nbVar,1); - end - - if (size(ub,2)==0) then - ub = repmat(%inf,nbVar,1); - end - if (size(f,2)==0) then - f = repmat(0,nbVar,1); - end + if ( rhs<3 ) then + A = [] + b = [] + else + A = varargin(3); + b = varargin(4); + end + + if ( rhs<5 ) then + Aeq = [] + beq = [] + else + Aeq = varargin(5); + beq = varargin(6); + end - if (type(param) ~= 15) then - errmsg = msprintf(gettext("%s: param should be a list "), "qpipoptmat"); - error(errmsg); - end - + if ( rhs<7 ) then + lb = repmat(-%inf,nbVar,1); + ub = repmat(%inf,nbVar,1); + else + lb = varargin(7); + ub = varargin(8); + end - if (modulo(size(param),2)) then - errmsg = msprintf(gettext("%s: Size of parameters should be even"), "qpipoptmat"); - error(errmsg); - end - - options = list(.. - "MaxIter" , [3000], ... - "CpuTime" , [600] ... - ); - - for i = 1:(size(param))/2 - - select param(2*i-1) - case "MaxIter" then - options(2*i) = param(2*i); - case "CpuTime" then - options(2*i) = param(2*i); - else - errmsg = msprintf(gettext("%s: Unrecognized parameter name ''%s''."), "qpipoptmat", param(2*i-1)); - error(errmsg) - end - end - - nbConInEq = size(A,1); - nbConEq = size(Aeq,1); - -// Check if the user gives row vector -// and Changing it to a column matrix - - - if (size(f,2)== [nbVar]) then - f=f'; - end - - if (size(lb,2)== [nbVar]) then - lb = lb'; - end + if ( rhs<9 | size(varargin(9)) ==0 ) then + x0 = repmat(0,nbVar,1) + else + x0 = varargin(9); + end - if (size(ub,2)== [nbVar]) then - ub = ub'; - end + if ( rhs<10 | size(varargin(10)) ==0 ) then + param = list(); + else + param =varargin(10); + end + + if (size(lb,2)==0) then + lb = repmat(-%inf,nbVar,1); + end - if (size(b,2)==nbConInEq) then - b = b'; - end + if (size(ub,2)==0) then + ub = repmat(%inf,nbVar,1); + end - if (size(beq,2)== nbConEq) then - beq = beq'; - end + if (size(f,2)==0) then + f = repmat(0,nbVar,1); + end - if (size(x0,2)== [nbVar]) then - x0=x0'; - end + if (type(param) ~= 15) then + errmsg = msprintf(gettext("%s: param should be a list "), "qpipoptmat"); + error(errmsg); + end - //Checking the H matrix which needs to be a symmetric matrix - if ( ~isequal(H,H')) then - errmsg = msprintf(gettext("%s: H is not a symmetric matrix"), "qpipoptmat"); - error(errmsg); - end + if (modulo(size(param),2)) then + errmsg = msprintf(gettext("%s: Size of parameters should be even"), "qpipoptmat"); + error(errmsg); + end + + options = list(.. + "MaxIter" , [3000], ... + "CpuTime" , [600] ... + ); + + for i = 1:(size(param))/2 + + select param(2*i-1) + case "MaxIter" then + options(2*i) = param(2*i); + case "CpuTime" then + options(2*i) = param(2*i); + else + errmsg = msprintf(gettext("%s: Unrecognized parameter name ''%s''."), "qpipoptmat", param(2*i-1)); + error(errmsg) + end + end + + nbConInEq = size(A,1); + nbConEq = size(Aeq,1); + + // Check if the user gives row vector + // and Changing it to a column matrix + + if (size(f,2)== [nbVar]) then + f=f'; + end + + if (size(lb,2)== [nbVar]) then + lb = lb'; + end + + if (size(ub,2)== [nbVar]) then + ub = ub'; + end + + if (size(b,2)==nbConInEq) then + b = b'; + end + + if (size(beq,2)== nbConEq) then + beq = beq'; + end + + if (size(x0,2)== [nbVar]) then + x0=x0'; + end + + //Checking the H matrix which needs to be a symmetric matrix + if ( ~isequal(H,H')) then + errmsg = msprintf(gettext("%s: H is not a symmetric matrix"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of f which should equal to the number of variable + if ( size(f,1) ~= [nbVar]) then + errmsg = msprintf(gettext("%s: The number of rows and columns in H must be equal the number of elements of f"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of inequality constraint which should be equal to the number of variables + if ( size(A,2) ~= nbVar & size(A,2) ~= 0) then + errmsg = msprintf(gettext("%s: The number of columns in A must be the same as the number of elements of f"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of equality constraint which should be equal to the number of variables + if ( size(Aeq,2) ~= nbVar & size(Aeq,2) ~= 0 ) then + errmsg = msprintf(gettext("%s: The number of columns in Aeq must be the same as the number of elements of f"), "qpipoptmat"); + error(errmsg); + end + + + //Check the size of Lower Bound which should be equal to the number of variables + if ( size(lb,1) ~= nbVar) then + errmsg = msprintf(gettext("%s: The Lower Bound is not equal to the number of variables"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of Upper Bound which should equal to the number of variables + if ( size(ub,1) ~= nbVar) then + errmsg = msprintf(gettext("%s: The Upper Bound is not equal to the number of variables"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of constraints of Lower Bound which should equal to the number of constraints + if ( size(b,1) ~= nbConInEq & size(b,1) ~= 0) then + errmsg = msprintf(gettext("%s: The number of rows in A must be the same as the number of elementsof b"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of constraints of Upper Bound which should equal to the number of constraints + if ( size(beq,1) ~= nbConEq & size(beq,1) ~= 0) then + errmsg = msprintf(gettext("%s: The number of rows in Aeq must be the same as the number of elements of beq"), "qpipoptmat"); + error(errmsg); + end + + //Check the size of initial of variables which should equal to the number of variables + if ( size(x0,1) ~= nbVar) then + warnmsg = msprintf(gettext("%s: Ignoring initial guess of variables as it is not equal to the number of variables"), "qpipoptmat"); + warning(warnmsg); + x0 = repmat(0,nbVar,1); + end + + //Check if the user gives a matrix instead of a vector + + if ((size(f,1)~=1)& (size(f,2)~=1)) then + errmsg = msprintf(gettext("%s: f should be a vector"), "qpipoptmat"); + error(errmsg); + end + + if (size(lb,1)~=1)& (size(ub,2)~=1) then + errmsg = msprintf(gettext("%s: Lower Bound should be a vector"), "qpipoptmat"); + error(errmsg); + end + + if (size(ub,1)~=1)& (size(ub,2)~=1) then + errmsg = msprintf(gettext("%s: Upper Bound should be a vector"), "qpipoptmat"); + error(errmsg); + end + + if (nbConInEq) then + if ((size(b,1)~=1)& (size(b,2)~=1)) then + errmsg = msprintf(gettext("%s: Constraint Lower Bound should be a vector"), "qpipoptmat"); + error(errmsg); + end + end + + if (nbConEq) then + if (size(beq,1)~=1)& (size(beq,2)~=1) then + errmsg = msprintf(gettext("%s: Constraint should be a vector"), "qpipoptmat"); + error(errmsg); + end + end - - //Check the size of f which should equal to the number of variable - if ( size(f,1) ~= [nbVar]) then - errmsg = msprintf(gettext("%s: The number of rows and columns in H must be equal the number of elements of f"), "qpipoptmat"); - error(errmsg); - end - - //Check the size of inequality constraint which should be equal to the number of variables - if ( size(A,2) ~= nbVar & size(A,2) ~= 0) then - errmsg = msprintf(gettext("%s: The number of columns in A must be the same as the number of elements of f"), "qpipoptmat"); - error(errmsg); - end - - //Check the size of equality constraint which should be equal to the number of variables - if ( size(Aeq,2) ~= nbVar & size(Aeq,2) ~= 0 ) then - errmsg = msprintf(gettext("%s: The number of columns in Aeq must be the same as the number of elements of f"), "qpipoptmat"); - error(errmsg); - end - - - //Check the size of Lower Bound which should be equal to the number of variables - if ( size(lb,1) ~= nbVar) then - errmsg = msprintf(gettext("%s: The Lower Bound is not equal to the number of variables"), "qpipoptmat"); - error(errmsg); - end - - //Check the size of Upper Bound which should equal to the number of variables - if ( size(ub,1) ~= nbVar) then - errmsg = msprintf(gettext("%s: The Upper Bound is not equal to the number of variables"), "qpipoptmat"); - error(errmsg); - end - - //Check the size of constraints of Lower Bound which should equal to the number of constraints - if ( size(b,1) ~= nbConInEq & size(b,1) ~= 0) then - errmsg = msprintf(gettext("%s: The number of rows in A must be the same as the number of elementsof b"), "qpipoptmat"); - error(errmsg); - end - - //Check the size of constraints of Upper Bound which should equal to the number of constraints - if ( size(beq,1) ~= nbConEq & size(beq,1) ~= 0) then - errmsg = msprintf(gettext("%s: The number of rows in Aeq must be the same as the number of elements of beq"), "qpipoptmat"); - error(errmsg); - end - - //Check the size of initial of variables which should equal to the number of variables - if ( size(x0,1) ~= nbVar) then - warnmsg = msprintf(gettext("%s: Ignoring initial guess of variables as it is not equal to the number of variables"), "qpipoptmat"); - warning(warnmsg); - x0 = repmat(0,nbVar,1); - end - - //Check if the user gives a matrix instead of a vector - - if ((size(f,1)~=1)& (size(f,2)~=1)) then - errmsg = msprintf(gettext("%s: f should be a vector"), "qpipoptmat"); - error(errmsg); - end - - if (size(lb,1)~=1)& (size(ub,2)~=1) then - errmsg = msprintf(gettext("%s: Lower Bound should be a vector"), "qpipoptmat"); - error(errmsg); - end - - if (size(ub,1)~=1)& (size(ub,2)~=1) then - errmsg = msprintf(gettext("%s: Upper Bound should be a vector"), "qpipoptmat"); - error(errmsg); - end - - if (nbConInEq) then - if ((size(b,1)~=1)& (size(b,2)~=1)) then - errmsg = msprintf(gettext("%s: Constraint Lower Bound should be a vector"), "qpipoptmat"); - error(errmsg); - end - end - - if (nbConEq) then - if (size(beq,1)~=1)& (size(beq,2)~=1) then - errmsg = msprintf(gettext("%s: Constraint should be a vector"), "qpipoptmat"); - error(errmsg); - end - end - for i = 1:nbConInEq if (b(i) == -%inf) errmsg = msprintf(gettext("%s: Value of b can not be negative infinity"), "qpipoptmat"); - error(errmsg); - end + error(errmsg); + end end - + for i = 1:nbConEq if (beq(i) == -%inf) errmsg = msprintf(gettext("%s: Value of beq can not be negative infinity"), "qpipoptmat"); - error(errmsg); - end + error(errmsg); + end end - //Converting it into ipopt format - f = f'; - lb = lb'; - ub = ub'; - x0 = x0'; - conMatrix = [Aeq;A]; - nbCon = size(conMatrix,1); - conLB = [beq; repmat(-%inf,nbConInEq,1)]'; - conUB = [beq;b]' ; - [xopt,fopt,status,iter,Zl,Zu,lmbda] = solveqp(nbVar,nbCon,H,f,conMatrix,conLB,conUB,lb,ub,x0,options); - - xopt = xopt'; - exitflag = status; - output = struct("Iterations" , []); - output.Iterations = iter; - lambda = struct("lower" , [], .. - "upper" , [], .. - "eqlin" , [], .. + //Converting it into ipopt format + f = f'; + lb = lb'; + ub = ub'; + x0 = x0'; + conMatrix = [Aeq;A]; + nbCon = size(conMatrix,1); + conLB = [beq; repmat(-%inf,nbConInEq,1)]'; + conUB = [beq;b]' ; + + [xopt,fopt,status,iter,Zl,Zu,lmbda] = solveqp(nbVar,nbCon,H,f,conMatrix,conLB,conUB,lb,ub,x0,options); + xopt = xopt'; + exitflag = status; + output = struct("Iterations" , [], .. + "ConstrViolation" ,[]); + output.Iterations = iter; + output.ConstrViolation = max([0;norm(Aeq*xopt-beq, 'inf');(lb'-xopt);(xopt-ub');(A*xopt-b)]); + lambda = struct("lower" , [], .. + "upper" , [], .. + "eqlin" , [], .. "ineqlin" , []); - - lambda.lower = Zl; - lambda.upper = Zu; - lambda.eqlin = lmbda(1:nbConEq); - lambda.ineqlin = lmbda(nbConEq+1:nbCon); + + lambda.lower = Zl; + lambda.upper = Zu; + lambda.eqlin = lmbda(1:nbConEq); + lambda.ineqlin = lmbda(nbConEq+1:nbCon); select status |