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simulation-package / vendor /libigl /include /igl /mosek /mosek_linprog.cpp
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// This file is part of libigl, a simple c++ geometry processing library.
//
// Copyright (C) 2015 Alec Jacobson <alecjacobson@gmail.com>
//
// This Source Code Form is subject to the terms of the Mozilla Public License
// v. 2.0. If a copy of the MPL was not distributed with this file, You can
// obtain one at http://mozilla.org/MPL/2.0/.
#include "mosek_linprog.h"
#include "../mosek/mosek_guarded.h"
#include "../harwell_boeing.h"
#include <limits>
#include <cmath>
#include <vector>
IGL_INLINE bool igl::mosek::mosek_linprog(
const Eigen::VectorXd & c,
const Eigen::SparseMatrix<double> & A,
const Eigen::VectorXd & lc,
const Eigen::VectorXd & uc,
const Eigen::VectorXd & lx,
const Eigen::VectorXd & ux,
Eigen::VectorXd & x)
{
// variables for mosek task, env and result code
MSKenv_t env;
// Create the MOSEK environment
mosek_guarded(MSK_makeenv(&env,NULL));
// initialize mosek environment
#if MSK_VERSION_MAJOR <= 7
mosek_guarded(MSK_initenv(env));
#endif
const bool ret = mosek_linprog(c,A,lc,uc,lx,ux,env,x);
MSK_deleteenv(&env);
return ret;
}
IGL_INLINE bool igl::mosek::mosek_linprog(
const Eigen::VectorXd & c,
const Eigen::SparseMatrix<double> & A,
const Eigen::VectorXd & lc,
const Eigen::VectorXd & uc,
const Eigen::VectorXd & lx,
const Eigen::VectorXd & ux,
const MSKenv_t & env,
Eigen::VectorXd & x)
{
// following http://docs.mosek.com/7.1/capi/Linear_optimization.html
using namespace std;
// number of constraints
const int m = A.rows();
// number of variables
const int n = A.cols();
vector<double> vAv;
vector<int> vAri,vAcp;
int nr;
harwell_boeing(A,nr,vAv,vAri,vAcp);
MSKtask_t task;
// Create the optimization task
mosek_guarded(MSK_maketask(env,m,n,&task));
// no threads
mosek_guarded(MSK_putintparam(task,MSK_IPAR_NUM_THREADS,1));
if(m>0)
{
// Append 'm' empty constraints, the constrainst will initially have no
// bounds
mosek_guarded(MSK_appendcons(task,m));
}
mosek_guarded(MSK_appendvars(task,n));
const auto & key = [](const double lxj, const double uxj) ->
MSKboundkeye
{
MSKboundkeye k = MSK_BK_FR;
if(isfinite(lxj) && isfinite(uxj))
{
if(lxj == uxj)
{
k = MSK_BK_FX;
}else{
k = MSK_BK_RA;
}
}else if(isfinite(lxj))
{
k = MSK_BK_LO;
}else if(isfinite(uxj))
{
k = MSK_BK_UP;
}
return k;
};
// loop over variables
for(int j = 0;j<n;j++)
{
if(c.size() > 0)
{
// Set linear term c_j in the objective
mosek_guarded(MSK_putcj(task,j,c(j)));
}
// Set constant bounds on variable j
const double lxj = lx.size()>0?lx[j]:-numeric_limits<double>::infinity();
const double uxj = ux.size()>0?ux[j]: numeric_limits<double>::infinity();
mosek_guarded(MSK_putvarbound(task,j,key(lxj,uxj),lxj,uxj));
if(m>0)
{
// Input column j of A
mosek_guarded(
MSK_putacol(
task,
j,
vAcp[j+1]-vAcp[j],
&vAri[vAcp[j]],
&vAv[vAcp[j]])
);
}
}
// loop over constraints
for(int i = 0;i<m;i++)
{
// Set constraint bounds for row i
const double lci = lc.size()>0?lc[i]:-numeric_limits<double>::infinity();
const double uci = uc.size()>0?uc[i]: numeric_limits<double>::infinity();
mosek_guarded(MSK_putconbound(task,i,key(lci,uci),lci,uci));
}
// Now the optimizer has been prepared
MSKrescodee trmcode;
// run the optimizer
mosek_guarded(MSK_optimizetrm(task,&trmcode));
// Get status
MSKsolstae solsta;
MSK_getsolsta (task,MSK_SOL_ITR,&solsta);
bool success = false;
switch(solsta)
{
case MSK_SOL_STA_OPTIMAL:
#if MSK_VERSION_MAJOR <= 8
case MSK_SOL_STA_NEAR_OPTIMAL:
#endif
x.resize(n);
/* Request the basic solution. */
MSK_getxx(task,MSK_SOL_BAS,x.data());
success = true;
break;
case MSK_SOL_STA_DUAL_INFEAS_CER:
case MSK_SOL_STA_PRIM_INFEAS_CER:
#if MSK_VERSION_MAJOR <= 8
case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:
#endif
//printf("Primal or dual infeasibility certificate found.\n");
break;
case MSK_SOL_STA_UNKNOWN:
//printf("The status of the solution could not be determined.\n");
break;
default:
//printf("Other solution status.");
break;
}
MSK_deletetask(&task);
return success;
}