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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 = qpipopt(nbVar,nbCon,Q,p,LB,UB,conMatrix,conLB,conUB,x0)
// xopt = qpipopt(nbVar,nbCon,Q,p,LB,UB,conMatrix,conLB,conUB,x0,param)
// [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 symmetric matrix of doubles, where n is number of variables, represents coefficients of quadratic in the quadratic problem.
// p : a n x 1 matrix of doubles, where n is number of variables, represents coefficients of linear in the quadratic problem
// LB : a n x 1 matrix of doubles, where n is number of variables, contains lower bounds of the variables.
// UB : a n x 1 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.
// x0 : a m x 1 matrix of doubles, where m is number of constraints, contains initial guess of variables.
// param : a list containing the the parameters to be set.
// 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];
// 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;
// x0 = repmat(0,nbVar,1);
// param = list("MaxIter", 300, "CpuTime", 100);
// [xopt,fopt,exitflag,output,lambda]=qpipopt(nbVar,nbCon,Q,p,lb,ub,conMatrix,conLB,conUB,x0,param)
//
// Examples
// //Find the value of x that minimize following function
// // f(x) = 0.5*x1^2 + x2^2 - x1*x2 - 2*x1 - 6*x2
// // Subject to:
// // x1 + x2 ≤ 2
// // –x1 + 2x2 ≤ 2
// // 2x1 + x2 ≤ 3
// // 0 ≤ x1, 0 ≤ x2.
// Q = [1 -1; -1 2];
// p = [-2; -6];
// conMatrix = [1 1; -1 2; 2 1];
// conUB = [2; 2; 3];
// conLB = [-%inf; -%inf; -%inf];
// lb = [0; 0];
// ub = [%inf; %inf];
// nbVar = 2;
// nbCon = 3;
// [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 | rhs > 11 ) then
errmsg = msprintf(gettext("%s: Unexpected number of input arguments : %d provided while should be 9, 10 or 11"), "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);
conUB = varargin(9);
if ( rhs<10 | size(varargin(10)) ==0 ) then
x0 = repmat(0,nbVar,1);
else
x0 = varargin(10);
end
if ( rhs<11 ) then
param = [];
else
param =varargin(11);
end
if (modulo(size(param),2)) then
errmsg = msprintf(gettext("%s: Size of parameters should be even"), "qpipopt");
error(errmsg);
end
options = list(..
"MaxIter" , [3000], ...
"CpuTime" , [600] ...
);
for i = 1:(size(param))/2
select param(2*i-1)
case "MaxIter" then
options(1) = param(2*i);
case "CpuTime" then
options(3) = param(2*i);
else
errmsg = msprintf(gettext("%s: Unrecognized parameter name ''%s''."), "qpipopt", param(2*i-1));
error(errmsg)
end
end
//IPOpt wants it in row matrix form
p = p';
LB = LB';
UB = UB';
conLB = conLB';
conUB = conUB';
x0 = x0';
//Checking the Q matrix which needs to be a symmetric matrix
if ( ~isequal(Q,Q') ) then
errmsg = msprintf(gettext("%s: Q is not a symmetric matrix"), "qpipopt");
error(errmsg);
end
//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 variables
if ( size(conMatrix,2) ~= nbVar) then
errmsg = msprintf(gettext("%s: The size of constraints 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"), "qpipopt");
error(errmsg);
end
//Check the size of initial of variables which should equal to the number of variables
if ( size(x0,2) ~= nbVar) then
errmsg = msprintf(gettext("%s: The initial guess of variables is not equal to the number of variables"), "qpipopt");
error(errmsg);
end
[xopt,fopt,status,iter,Zl,Zu,lmbda] = solveqp(nbVar,nbCon,Q,p,conMatrix,conLB,conUB,LB,UB,x0,options);
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
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