70 lines
2.4 KiB
Mathematica
70 lines
2.4 KiB
Mathematica
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function solver = fiordos(self)
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% The first dimin equalities are used to fix some parameters
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aux = self.model.F_struc(1:self.dimin,:);
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% remove these
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self.model.F_struc(1:self.dimin(1),:) = [];
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self.model.K.f = self.model.K.f - self.dimin(1);
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% Extract all bounds and move from Ab to ub/lb
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temp = presolve_bounds_from_modelbounds(self.model,1);
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self.model = temp;
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% Any bound constraints?
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n = length(temp.lb);
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bounded_ub = find(~isinf(temp.ub));
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bounded_lb = find(~isinf(temp.lb));
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if length(bounded_lb) == n && length(bounded_ub) == n
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% All have finite bounds.
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X = EssBox(n, 'l',temp.lb, 'u',temp.ub);
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X = SimpleSet(X);
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elseif ~isempty(bounded_ub) || ~isempty(bounded_lb)
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% Only some bounds. Keep them as general constraints
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X = [];
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for i = 1:n
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if isinf(temp.lb(i)) && isinf(temp.ub(i))
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X{end+1} = EssRn(1);
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elseif ~isinf(temp.lb(i)) && ~isinf(temp.ub(i))
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X{end+1} = EssBox(1, 'l',temp.lb(i), 'u',temp.ub(i));
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elseif isinf(temp.ub(i))
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X{end+1} = EssRnplus(1, 'shift', temp.lb(i));
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else
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X{end+1} = EssRnplus(1, 'shift', temp.ub(i),'rot',-1);
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end
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end
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X = SimpleSet(X{:});
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else
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% No bounds
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X = EssRn(n);
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X = SimpleSet(X);
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end
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% Put back a placeholder for fixing the parameters
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self.model.F_struc = [aux;self.model.F_struc];
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self.model.F_struc(1:self.dimin(1),1)=0; % Now fixed to zero
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self.model.K.f = self.model.K.f + self.dimin(1);
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op = OptProb('H',2*full(self.model.Q), 'g',self.model.c, 'X',X, 'Ae',-self.model.F_struc(1:self.model.K.f,2:end), 'be','param');
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%instantiate solver
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s = Solver(op,'approach','primal-dual');
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%, 'algoOuter','gm', 'algoInner','fgm');
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%optionally change settings, e.g.
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%-maximum number of iterations
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%s.setSettings('algoOuter', 'maxit',10000);
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%s.setSettings('algoInner', 'maxit',9000);
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%-gradient-map stopping criterion
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%s.setSettings('algoOuter', 'stopg',true, 'stopgEps',1e-3);
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%s.setSettings('algoInner', 'stopg',true, 'stopgEps',1e-5);
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%generate solver code
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s.generateCode('prefix','demo_','forceOverwrite',1);
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demo_mex_make();
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compiledsolver = @(x)demo_mex(x);
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b0 = self.model.F_struc(1:self.model.K.f,1);
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B0 = [eye(self.dimin(1));zeros(self.model.K.f-self.dimin(1),self.dimin(1))];
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map = self.map;
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dimout = self.dimout;
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mask = self.mask{1};
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solver = @(x)(fiordos_call(compiledsolver,x,B0,b0,mask,map,dimout));
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