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diff --git a/macros/qpipopt.sci~ b/macros/qpipopt.sci~ new file mode 100644 index 0000000..35e604b --- /dev/null +++ b/macros/qpipopt.sci~ @@ -0,0 +1,233 @@ +// 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 |