From dad86bd42cdc2a0e56df9e0591879e5d26fd56fa Mon Sep 17 00:00:00 2001
From: Harpreet
Date: Tue, 5 Jan 2016 12:22:43 +0530
Subject: constrviolation and licence file added
---
macros/qpipoptmat.sci | 489 ++++++++++++++++++++++++++------------------------
1 file changed, 258 insertions(+), 231 deletions(-)
(limited to 'macros/qpipoptmat.sci')
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
--
cgit