147 lines
6.4 KiB
Mathematica
147 lines
6.4 KiB
Mathematica
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function [solver,diagnostic] = setupBMIBNB(solver,ProblemClass,options,solvers,socp_are_really_qc,F,h,logdetStruct,parametric,evaluation_based,F_vars,exponential_cone,allsolvers)
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diagnostic = [];
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% Relax problem for lower solver
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tempProblemClass = ProblemClass;
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sdp = tempProblemClass.constraint.inequalities.semidefinite;
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tempProblemClass.constraint.inequalities.semidefinite.linear = sdp.linear | sdp.quadratic | sdp.polynomial;
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tempProblemClass.constraint.inequalities.semidefinite.quadratic = 0;
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tempProblemClass.constraint.inequalities.semidefinite.polynomial = 0;
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tempProblemClass.constraint.inequalities.rank = 0;
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lp = tempProblemClass.constraint.inequalities.elementwise;
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tempProblemClass.constraint.inequalities.elementwise.linear = lp.linear | lp.quadratic.convex | lp.quadratic.nonconvex | sdp.polynomial;
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tempProblemClass.constraint.inequalities.elementwise.quadratic.convex = 0;
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tempProblemClass.constraint.inequalities.elementwise.quadratic.nonconvex = 0;
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tempProblemClass.constraint.inequalities.elementwise.polynomial = 0;
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tempProblemClass.constraint.inequalities.elementwise.sigmonial = 0;
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equ = tempProblemClass.constraint.equalities;
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tempProblemClass.constraint.equalities.linear = equ.linear | equ.quadratic | equ.polynomial;
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tempProblemClass.constraint.equalities.quadratic = 0;
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tempProblemClass.constraint.equalities.polynomial = 0;
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tempProblemClass.constraint.equalities.sigmonial = 0;
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tempProblemClass.objective.quadratic.nonconvex = 0;
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tempProblemClass.objective.polynomial = 0;
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tempProblemClass.objective.sigmonial = 0;
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tempProblemClass.constraint.inequalities.rank = 0;
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tempProblemClass.evaluation = 0;
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tempProblemClass.exponentialcone = 0;
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temp_options = options;
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temp_options.solver = options.bmibnb.lowersolver;
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% If the problem actually is quadratic, try to get a convex problem
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% this will typically allow us to solver better lower bounding problems
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% (we don't have to linearize the cost)
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[lowersolver,problem] = selectsolver(temp_options,tempProblemClass,solvers,socp_are_really_qc,allsolvers);
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if isempty(lowersolver) || strcmpi(lowersolver.tag,'bmibnb') || strcmpi(lowersolver.tag,'bnb')
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% No, probably non-convex cost. Pick a linear solver instead and go
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% for lower bound based on a complete "linearization"
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tempProblemClass.objective.quadratic.convex = 0;
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[lowersolver,problem] = selectsolver(temp_options,tempProblemClass,solvers,socp_are_really_qc,allsolvers);
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end
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if isempty(lowersolver) || strcmpi(lowersolver.tag,'bmibnb') || strcmpi(lowersolver.tag,'bnb')
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tempbinary = tempProblemClass.constraint.binary;
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tempinteger = tempProblemClass.constraint.integer;
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tempsemicont = tempProblemClass.constraint.semicont;
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tempProblemClass.constraint.binary = 0;
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tempProblemClass.constraint.integer = 0;
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tempProblemClass.constraint.semicont = 0;
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[lowersolver,problem] = selectsolver(temp_options,tempProblemClass,solvers,socp_are_really_qc,allsolvers);
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tempProblemClass.constraint.binary = tempbinary;
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tempProblemClass.constraint.integer = tempinteger;
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tempProblemClass.constraint.semicont = tempsemicont;
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end
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if isempty(lowersolver) || strcmpi(lowersolver.tag,'bmibnb') || strcmpi(lowersolver.tag,'bnb')
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diagnostic.solvertime = 0;
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diagnostic.info = yalmiperror(-2,'YALMIP');
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diagnostic.problem = -2;
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return
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end
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solver.lowercall = lowersolver.call;
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solver.lowersolver = lowersolver;
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temp_options = options;
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temp_options.solver = options.bmibnb.uppersolver;
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if any(getcutflag(F))
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% Could be that the model involves, e.g., semidefinite cuts, which
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% shouldn't be sent to the upper bound solver
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Ftemp = F;
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Ftemp(find(getcutflag(F)))=[];
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[temp_ProblemClass,aux1,aux2,aux3,aux4,aux5,aux6] = categorizeproblem(Ftemp,logdetStruct,h,options.relax,parametric,evaluation_based,F_vars,exponential_cone);
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temp_ProblemClass.gppossible = ProblemClass.gppossible;
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else
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temp_ProblemClass = ProblemClass;
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end
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temp_ProblemClass.constraint.binary = 0;
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temp_ProblemClass.constraint.integer = 0;
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[uppersolver,problem] = selectsolver(temp_options,temp_ProblemClass,solvers,socp_are_really_qc,allsolvers);
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if ~isempty(uppersolver) && strcmpi(uppersolver.tag,'bnb')
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temp_options.solver = 'none';
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[uppersolver,problem] = selectsolver(temp_options,temp_ProblemClass,solvers,socp_are_really_qc,allsolvers);
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end
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if isempty(uppersolver) || strcmpi(uppersolver.tag,'bmibnb')
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diagnostic.solvertime = 0;
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diagnostic.info = yalmiperror(-2,'YALMIP');
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diagnostic.problem = -2;
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return
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end
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if strcmpi(uppersolver.version,'geometric') && strcmpi(uppersolver.tag,'fmincon')
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uppersolver.version = 'standard';
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uppersolver.call = 'callfmincon';
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end
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if strcmpi(uppersolver.version,'geometric') && strcmpi(uppersolver.tag,'ipopt')
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uppersolver.version = 'standard';
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uppersolver.call = 'callipoptmex';
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end
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if strcmpi(uppersolver.version,'geometric') && strcmpi(uppersolver.tag,'snopt')
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uppersolver.version = 'standard';
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uppersolver.call = 'callsnopt';
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end
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if strcmpi(uppersolver.version,'geometric') && strcmpi(uppersolver.tag,'pennon')
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uppersolver.version = 'standard';
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uppersolver.call = 'callpennonm';
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end
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solver.uppercall = uppersolver.call;
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solver.uppersolver = uppersolver;
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temp_options = options;
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temp_options.solver = options.bmibnb.lpsolver;
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tempProblemClass.constraint.inequalities.semidefinite.linear = 0;
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tempProblemClass.constraint.inequalities.semidefinite.quadratic = 0;
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tempProblemClass.constraint.inequalities.semidefinite.polynomial = 0;
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tempProblemClass.constraint.inequalities.secondordercone.linear = 0;
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tempProblemClass.constraint.inequalities.secondordercone.nonlinear = 0;
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tempProblemClass.objective.quadratic.convex = 0;
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tempProblemClass.objective.quadratic.nonconvex = 0;
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tempProblemClass.objective.quadratic.nonconvex = 0;
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tempProblemClass.objective.polynomial = 0;
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tempProblemClass.objective.sigmonial = 0;
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[lpsolver,problem] = selectsolver(temp_options,tempProblemClass,solvers,socp_are_really_qc,allsolvers);
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if isempty(lowersolver) || strcmpi(lowersolver.tag,'bmibnb')
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tempbinary = tempProblemClass.constraint.binary;
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tempProblemClass.constraint.binary = 0;
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[lpsolver,problem] = selectsolver(temp_options,tempProblemClass,solvers,socp_are_really_qc,allsolvers);
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tempProblemClass.constraint.binary = tempbinary;
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end
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if isempty(lpsolver) || strcmpi(lpsolver.tag,'bmibnb')
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diagnostic.solvertime = 0;
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diagnostic.info = yalmiperror(-2,'YALMIP');
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diagnostic.problem = -2;
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return
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end
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solver.lpsolver = lpsolver;
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solver.lpcall = lpsolver.call;
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