75 lines
1.8 KiB
Mathematica
75 lines
1.8 KiB
Mathematica
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function [C,A,b,blk] = sdpt3struct2sdpt3block(F_struc,c,K)
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%SDPT3STRUCT2SDPT3BLOCK Internal function to convert data to SDPT3 format
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nvars = size(F_struc,2)-1;
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block = 1;
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top = 1;
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block = 1;
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blksz = 100;
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if K.l>0
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blk{block,1} = 'l';
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blk{block,2} = K.l;
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C{block,1} = sparse(F_struc(top:top+K.l-1,1));
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for var_index = 1:nvars
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A{block,var_index} = -sparse(F_struc(top:top+K.l-1,var_index+1));
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end
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block = block+1;
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top = top+sum(K.l);
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end
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if K.q>0
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blk{block,1} = 'q';
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blk{block,2} = K.q;
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C{block,1} = sparse(F_struc(top:top+sum(K.q)-1,1));
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for var_index = 1:nvars
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A{block,var_index} = -sparse(F_struc(top:top+sum(K.q)-1,var_index+1));
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end
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block = block+1;
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top = top+sum(K.q);
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end
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if K.s>0
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constraints = 1;
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while constraints<=length(K.s)
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n = K.s(constraints);
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Cvec = F_struc(top:top+n^2-1,1);
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C{block,1} = reshape(Cvec,n,n);
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for var_index = 1:nvars
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Avec = -F_struc(top:top+n^2-1,var_index+1);
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A{block,var_index} = reshape(Avec,n,n);
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end
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blk{block,1} = 's';
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blk{block,2} = n;
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top = top+n^2;
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constraints = constraints+1;
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sum_n = n;
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while (sum_n<blksz) & (constraints<=length(K.s))
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n = K.s(constraints);
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Cvec = F_struc(top:top+n^2-1,1);
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C{block,1} = blkdiag(C{block,1},reshape(Cvec,n,n));
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[n1,m1] = size(A{block,var_index});
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[n2,m2] = size(reshape(-F_struc(top:top+n^2-1,1+1),n,n));
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Z = spalloc(n1,m2,0);
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for var_index = 1:nvars
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Avec = -F_struc(top:top+n^2-1,var_index+1);
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A{block,var_index} = [A{block,var_index} Z;Z' reshape(Avec,n,n)];
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end
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blk{block,2} = [blk{block,2} n];
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top = top+n^2;
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sum_n = sum_n+n;
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constraints = constraints+1;
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end
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block = block+1;
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end
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end
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% And we solve dual...
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b = -c(:);
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% blkdiag with 2 sparse blocks
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function y = blkdiag(x1,x2)
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[n1,m1] = size(x1);
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[n2,m2] = size(x2);
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Z = spalloc(n1,m2,0);
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y = [x1 Z;Z' x2];
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