59 lines
1.6 KiB
Mathematica
59 lines
1.6 KiB
Mathematica
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function [F,obj,options] = create_lrmodel(BlockedA,Blockedb,F_parametric,parobj,options,ParametricVariables)
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% Some special code for ther low-rank model in SDPLR
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% Experimental code, not official yet
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allb = [];
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allA = [];
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K.s = [];
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for i = 1:length(Blockedb)
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allb = [allb;Blockedb{i}];
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Ai = [];
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for j = 1:size(BlockedA{i},2)
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Ai = [Ai BlockedA{i}{j}];
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K.s = [K.s sqrt(size(BlockedA{i}{j},2))];
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end
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%blkdiag bug in 7.0...
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[n1,m1] = size(allA);
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[n2,m2] = size(Ai);
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allA = [allA spalloc(n1,m2,0);spalloc(n2,m1,0) Ai];
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end
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options.solver = 'sdplr';
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z = recover(ParametricVariables)
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start = size(BlockedA,2)+1;
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Mi = [];
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for i = 1:length(allb)
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if isa(allb(i),'sdpvar')
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[Qi,ci,fi,xi,infoi] = quaddecomp(allb(i),z);
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else
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Qi = zeros(length(z));
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ci = zeros(length(z),1);
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fi = allb(i);
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end
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Z = -[fi ci'/2;ci/2 Qi];
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Mi = [Mi;Z(:)'];
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end
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K.s = [K.s length(z)+1];
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zeroRow = zeros(1,size(allA,2));
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allA = [allA Mi;zeroRow 1 zeros(1,K.s(end)^2-1)];
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b = zeros(size(allA,1),1);b(end) = 1;
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y = sdpvar(length(b),1);
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CminusAy = -allA'*y;
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start = 1;
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% Get the cost, expressed in Z
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[Qi,ci,fi,xi,infoi] = quaddecomp(parobj,z);
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C = [fi ci'/2;ci/2 Qi];
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F = ([]);
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for i = 1:length(K.s)
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if i<length(K.s)
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F = F + (reshape(CminusAy(start:start+K.s(i)^2-1),K.s(i),K.s(i)) >= 0);
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else
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F = F + (reshape(C(:) + CminusAy(start:start+K.s(i)^2-1),K.s(i),K.s(i))>=0);
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end
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start = start + K.s(i)^2;
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end
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obj = -b'*y;
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options.sdplr.forcerank = ceil(K.s/2);
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options.sdplr.forcerank(end) = 1;
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options.sdplr.feastol = 1e-7;
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