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| // This file is part of libigl, a simple c++ geometry processing library. | |
| // | |
| // Copyright (C) 2013 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/. | |
| igl::mosek::MosekData::MosekData() | |
| { | |
| // These are the default settings that worked well for BBW. Your miles may | |
| // very well be kilometers. | |
| // >1e0 NONSOLUTION | |
| // 1e-1 artifacts in deformation | |
| // 1e-3 artifacts in isolines | |
| // 1e-4 seems safe | |
| // 1e-8 MOSEK DEFAULT SOLUTION | |
| douparam[MSK_DPAR_INTPNT_TOL_REL_GAP]=1e-8; | |
| douparam[MSK_DPAR_INTPNT_QO_TOL_REL_GAP]=1e-12; | |
| // Force using multiple threads, not sure if MOSEK is properly destroying | |
| //extra threads... | |
| intparam[MSK_IPAR_NUM_THREADS] = 6; | |
| intparam[MSK_IPAR_INTPNT_NUM_THREADS] = 6; | |
| // Force turn off data check | |
| intparam[MSK_IPAR_DATA_CHECK]=MSK_OFF; | |
| // Turn off presolving | |
| // intparam[MSK_IPAR_PRESOLVE_USE] = MSK_PRESOLVE_MODE_OFF; | |
| // Force particular matrix reordering method | |
| // MSK_ORDER_METHOD_NONE cuts time in half roughly, since half the time is | |
| // usually spent reordering the matrix | |
| // !! WARNING Setting this parameter to anything but MSK_ORDER_METHOD_FREE | |
| // seems to have the effect of setting it to MSK_ORDER_METHOD_NONE | |
| // *Or maybe Mosek is spending a bunch of time analyzing the matrix to | |
| // choose the right ordering method when really any of them are | |
| // instantaneous | |
| intparam[MSK_IPAR_INTPNT_ORDER_METHOD] = MSK_ORDER_METHOD_NONE; | |
| // 1.0 means optimizer is very lenient about declaring model infeasible | |
| douparam[MSK_DPAR_INTPNT_TOL_INFEAS] = 1e-8; | |
| // Hard to say if this is doing anything, probably nothing dramatic | |
| douparam[MSK_DPAR_INTPNT_TOL_PSAFE]= 1e2; | |
| // Turn off convexity check | |
| intparam[MSK_IPAR_CHECK_CONVEXITY] = MSK_CHECK_CONVEXITY_NONE; | |
| } | |
| template <typename Index, typename Scalar> | |
| IGL_INLINE bool igl::mosek::mosek_quadprog( | |
| const Index n, | |
| std::vector<Index> & Qi, | |
| std::vector<Index> & Qj, | |
| std::vector<Scalar> & Qv, | |
| const std::vector<Scalar> & c, | |
| const Scalar cf, | |
| const Index m, | |
| std::vector<Scalar> & Av, | |
| std::vector<Index> & Ari, | |
| const std::vector<Index> & Acp, | |
| const std::vector<Scalar> & lc, | |
| const std::vector<Scalar> & uc, | |
| const std::vector<Scalar> & lx, | |
| const std::vector<Scalar> & ux, | |
| MosekData & mosek_data, | |
| std::vector<Scalar> & x) | |
| { | |
| // I J V vectors of Q should all be same length | |
| assert(Qv.size() == Qi.size()); | |
| assert(Qv.size() == Qj.size()); | |
| // number of columns in linear constraint matrix must be ≤ number of | |
| // variables | |
| assert( (int)Acp.size() == (n+1)); | |
| // linear bound vectors must be size of number of constraints or empty | |
| assert( ((int)lc.size() == m) || ((int)lc.size() == 0)); | |
| assert( ((int)uc.size() == m) || ((int)uc.size() == 0)); | |
| // constant bound vectors must be size of number of variables or empty | |
| assert( ((int)lx.size() == n) || ((int)lx.size() == 0)); | |
| assert( ((int)ux.size() == n) || ((int)ux.size() == 0)); | |
| // allocate space for solution in x | |
| x.resize(n); | |
| // variables for mosek task, env and result code | |
| MSKenv_t env; | |
| MSKtask_t task; | |
| // Create the MOSEK environment | |
| mosek_guarded(MSK_makeenv(&env,NULL)); | |
| mosek_guarded(MSK_makeenv(&env,NULL,NULL,NULL,NULL)); | |
| ///* Directs the log stream to the 'printstr' function. */ | |
| //// Little function mosek needs in order to know how to print to std out | |
| //const auto & printstr = [](void *handle, char str[]) | |
| //{ | |
| // printf("%s",str); | |
| //} | |
| //mosek_guarded(MSK_linkfunctoenvstream(env,MSK_STREAM_LOG,NULL,printstr)); | |
| // initialize mosek environment | |
| mosek_guarded(MSK_initenv(env)); | |
| // Create the optimization task | |
| mosek_guarded(MSK_maketask(env,m,n,&task)); | |
| verbose("Creating task with %ld linear constraints and %ld variables...\n",m,n); | |
| //// Tell mosek how to print to std out | |
| //mosek_guarded(MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr)); | |
| // Give estimate of number of variables | |
| mosek_guarded(MSK_putmaxnumvar(task,n)); | |
| if(m>0) | |
| { | |
| // Give estimate of number of constraints | |
| mosek_guarded(MSK_putmaxnumcon(task,m)); | |
| // Give estimate of number of non zeros in A | |
| mosek_guarded(MSK_putmaxnumanz(task,Av.size())); | |
| } | |
| // Give estimate of number of non zeros in Q | |
| mosek_guarded(MSK_putmaxnumqnz(task,Qv.size())); | |
| if(m>0) | |
| { | |
| // Append 'm' empty constraints, the constrainst will initially have no | |
| // bounds | |
| mosek_guarded(MSK_appendcons(task,m)); | |
| mosek_guarded(MSK_append(task,MSK_ACC_CON,m)); | |
| } | |
| // Append 'n' variables | |
| mosek_guarded(MSK_appendvars(task,n)); | |
| mosek_guarded(MSK_append(task,MSK_ACC_VAR,n)); | |
| // add a contant term to the objective | |
| mosek_guarded(MSK_putcfix(task,cf)); | |
| // 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 | |
| if(lx[j] == ux[j]) | |
| { | |
| mosek_guarded(MSK_putbound(task,MSK_ACC_VAR,j,MSK_BK_FX,lx[j],ux[j])); | |
| mosek_guarded(MSK_putvarbound(task,j,MSK_BK_FX,lx[j],ux[j])); | |
| }else | |
| { | |
| mosek_guarded(MSK_putbound(task,MSK_ACC_VAR,j,MSK_BK_RA,lx[j],ux[j])); | |
| mosek_guarded(MSK_putvarbound(task,j,MSK_BK_RA,lx[j],ux[j])); | |
| } | |
| if(m>0) | |
| { | |
| // Input column j of A | |
| mosek_guarded( MSK_putacol( task, j, Acp[j+1]-Acp[j], &Ari[Acp[j]], &Av[Acp[j]])); | |
| mosek_guarded( MSK_putavec( task, MSK_ACC_VAR, j, Acp[j+1]-Acp[j], &Ari[Acp[j]], &Av[Acp[j]])); | |
| } | |
| } | |
| // loop over constraints | |
| for(int i = 0;i<m;i++) | |
| { | |
| // put bounds on constraints | |
| mosek_guarded(MSK_putbound(task,MSK_ACC_CON,i,MSK_BK_RA,lc[i],uc[i])); | |
| mosek_guarded(MSK_putconbound(task,i,MSK_BK_RA,lc[i],uc[i])); | |
| } | |
| // Input Q for the objective (REMEMBER Q SHOULD ONLY BE LOWER TRIANGLE) | |
| mosek_guarded(MSK_putqobj(task,Qv.size(),&Qi[0],&Qj[0],&Qv[0])); | |
| // Set up task parameters | |
| for( | |
| std::map<MSKiparame,int>::iterator pit = mosek_data.intparam.begin(); | |
| pit != mosek_data.intparam.end(); | |
| pit++) | |
| { | |
| mosek_guarded(MSK_putintparam(task,pit->first,pit->second)); | |
| } | |
| for( | |
| std::map<MSKdparame,double>::iterator pit = mosek_data.douparam.begin(); | |
| pit != mosek_data.douparam.end(); | |
| pit++) | |
| { | |
| mosek_guarded(MSK_putdouparam(task,pit->first,pit->second)); | |
| } | |
| // Now the optimizer has been prepared | |
| MSKrescodee trmcode; | |
| // run the optimizer | |
| mosek_guarded(MSK_optimizetrm(task,&trmcode)); | |
| //// Print a summary containing information about the solution for debugging | |
| //// purposes | |
| //MSK_solutionsummary(task,MSK_STREAM_LOG); | |
| // Get status of solution | |
| MSKsolstae solsta; | |
| MSK_getsolsta (task,MSK_SOL_ITR,&solsta); | |
| MSK_getsolutionstatus(task,MSK_SOL_ITR,NULL,&solsta); | |
| bool success = false; | |
| switch(solsta) | |
| { | |
| case MSK_SOL_STA_OPTIMAL: | |
| case MSK_SOL_STA_NEAR_OPTIMAL: | |
| MSK_getsolutionslice(task,MSK_SOL_ITR,MSK_SOL_ITEM_XX,0,n,&x[0]); | |
| //printf("Optimal primal solution\n"); | |
| //for(size_t j=0; j<n; ++j) | |
| //{ | |
| // printf("x[%ld]: %g\n",j,x[j]); | |
| //} | |
| success = true; | |
| break; | |
| case MSK_SOL_STA_DUAL_INFEAS_CER: | |
| case MSK_SOL_STA_PRIM_INFEAS_CER: | |
| case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER: | |
| case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER: | |
| //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); | |
| MSK_deleteenv(&env); | |
| return success; | |
| } | |
| IGL_INLINE bool igl::mosek::mosek_quadprog( | |
| const Eigen::SparseMatrix<double> & Q, | |
| const Eigen::VectorXd & c, | |
| const double cf, | |
| const Eigen::SparseMatrix<double> & A, | |
| const Eigen::VectorXd & lc, | |
| const Eigen::VectorXd & uc, | |
| const Eigen::VectorXd & lx, | |
| const Eigen::VectorXd & ux, | |
| MosekData & mosek_data, | |
| Eigen::VectorXd & x) | |
| { | |
| using namespace Eigen; | |
| using namespace std; | |
| typedef int Index; | |
| typedef double Scalar; | |
| // Q should be square | |
| assert(Q.rows() == Q.cols()); | |
| // Q should be symmetric | |
| assert( (Q-Q.transpose()).sum() < FLOAT_EPS); | |
| // Only keep lower triangular part of Q | |
| SparseMatrix<Scalar> QL; | |
| //QL = Q.template triangularView<Lower>(); | |
| QL = Q.triangularView<Lower>(); | |
| VectorXi Qi,Qj; | |
| VectorXd Qv; | |
| find(QL,Qi,Qj,Qv); | |
| vector<Index> vQi = matrix_to_list(Qi); | |
| vector<Index> vQj = matrix_to_list(Qj); | |
| vector<Scalar> vQv = matrix_to_list(Qv); | |
| // Convert linear term | |
| vector<Scalar> vc = matrix_to_list(c); | |
| assert(lc.size() == A.rows()); | |
| assert(uc.size() == A.rows()); | |
| // Convert A to harwell boeing format | |
| vector<Scalar> vAv; | |
| vector<Index> vAr,vAc; | |
| Index nr; | |
| harwell_boeing(A,nr,vAv,vAr,vAc); | |
| assert(lx.size() == Q.rows()); | |
| assert(ux.size() == Q.rows()); | |
| vector<Scalar> vlc = matrix_to_list(lc); | |
| vector<Scalar> vuc = matrix_to_list(uc); | |
| vector<Scalar> vlx = matrix_to_list(lx); | |
| vector<Scalar> vux = matrix_to_list(ux); | |
| vector<Scalar> vx; | |
| bool ret = mosek_quadprog<Index,Scalar>( | |
| Q.rows(),vQi,vQj,vQv, | |
| vc, | |
| cf, | |
| nr, | |
| vAv, vAr, vAc, | |
| vlc,vuc, | |
| vlx,vux, | |
| mosek_data, | |
| vx); | |
| list_to_matrix(vx,x); | |
| return ret; | |
| } | |
| // Explicit template declarations | |